Functional kernel estimators of large conditional quantiles
From MaRDI portal
Publication:1950877
DOI10.1214/12-EJS727zbMath1295.62052arXiv1107.2261MaRDI QIDQ1950877
Stéphane Girard, Laurent Gardes
Publication date: 28 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1107.2261
heavy-tailed distributions; extreme-value theory; conditional quantiles; functional kernel estimator
62E20: Asymptotic distribution theory in statistics
62G30: Order statistics; empirical distribution functions
62G32: Statistics of extreme values; tail inference
Related Items
Nonparametric modelling for functional data: selected survey and tracks for future, Tail index varying coefficient model, Estimation for Extreme Conditional Quantiles of Functional Quantile Regression, Efficient estimation of partially linear tail index models using B‐splines, Tail index partition-based rules extraction with application to tornado damage insurance, Estimation of high conditional quantiles using the Hill estimator of the tail index, A moment estimator for the conditional extreme-value index, A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes, Extreme geometric quantiles in a multivariate regular variation framework, Nonparametric estimation of the conditional extreme-value index with random covariates and censoring, Estimating the conditional extreme-value index under random right-censoring, Nonparametric estimation of extreme conditional quantiles with functional covariate, Tail dimension reduction for extreme quantile estimation, Extreme partial least-squares, Functional kernel estimation of the conditional extreme value index under random right censoring, Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions, A nonparametric estimator for the conditional tail index of Pareto-type distributions, Nonparametric estimation of the conditional tail copula, Extreme value estimation of the conditional risk premium in reinsurance, On the Strong Consistency of the Kernel Estimator of Extreme Conditional Quantiles, Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
- Minimax theory of image reconstruction
- On the estimation of the extreme-value index and large quantile estimation
- Regression with response distributions of Pareto-type
- A moving window approach for nonparametric estimation of the conditional tail index
- Rate of uniform consistency for nonparametric estimates with functional variables
- Conditional empirical processes
- Non-parametric estimation of conditional quantiles
- Statistical inference using extreme order statistics
- A simple general approach to inference about the tail of a distribution
- Consistent nonparametric regression. Discussion
- The functional nonparametric model and applications to spectrometric data
- Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
- Kernel estimators of extreme level curves
- A note on the asymptotic behavior of conditional extremes
- Bias-reduced extreme quantile estimators of Weibull tail-distributions
- Frontier estimation via kernel regression on high power-transformed data
- Nonparametric functional data analysis. Theory and practice.
- Asymptotic normality of convergent estimates of conditional quantiles
- The empirical distribution function as a tail estimator
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Estimating Extreme Quantiles of Weibull Tail Distributions
- Local Likelihood Smoothing of Sample Extremes
- Nonparametric Estimation of the Transition Distribution Function of a Markov Process
- Generalized Additive Modelling of Sample Extremes
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
- Using a bootstrap method to choose the sample fraction in tail index estimation
- Residual estimators
- Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology
- Estimation of a support curve via order statistics
