Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles
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Publication:274159
DOI10.1016/J.SPL.2016.01.024zbMath1383.62152OpenAlexW2267084101MaRDI QIDQ274159
Feng Yang He, Tie Jun Tong, Ye Bin Cheng
Publication date: 22 April 2016
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2016.01.024
Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)
Related Items (6)
Estimation for Extreme Conditional Quantiles of Functional Quantile Regression ⋮ Extreme value inference for quantile regression with varying coefficients ⋮ Extremal quantile autoregression for heavy-tailed time series ⋮ Additive models for extremal quantile regression with Pareto-type distributions ⋮ Unnamed Item ⋮ Simultaneous confidence bands for extremal quantile regression with splines
Cites Work
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- 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
- Extremal quantile regression
- On kernel smoothing for extremal quantile regression
- Estimation of High Conditional Quantiles for Heavy-Tailed Distributions
- Local Likelihood Smoothing of Sample Extremes
- Understanding Relationships Using Copulas
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