On the estimation of the variability in the distribution tail
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Publication:2074679
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Cites work
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- Censored quantile regression via Box-Cox transformation under conditional independence
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- Conditional \(L_ p\)-quantiles and their application to the testing of symmetry in non-parametric regression
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Estimation of Tail Risk Based on Extreme Expectiles
- Expected shortfall and beyond
- Expectile asymptotics
- Expectiles and M-quantiles are quantiles
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- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
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Cited in
(14)- Bounds for tail probabilities of the sample variance
- Comparison between two indicators for the variation regularity of tails of distributions
- Inference about the tail of a distribution: improvement on the Hill estimator
- A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
- On automatic bias reduction for extreme expectile estimation
- Estimation of distribution tails —a semiparametric approach
- A new variability order based on tail-heaviness
- Estimation of Tails and Related Quantities Using the Number of Near-Extremes
- Parameter Estimation for the Tail Distribution of a Random Sequence
- scientific article; zbMATH DE number 6789278 (Why is no real title available?)
- Extreme and Inference for Tail Gini Functionals With Applications in Tail Risk Measurement
- Nonparametric asymptotic confidence intervals for extreme quantiles
- Estimation of multivariate tail quantities
- Extreme risk modeling based on Tail Extended Gini and Joint Tail Extended Gini
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