Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles

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

zbMATH Keywords

extreme conditional quantileextreme valueintermediate regression quantile

Mathematics Subject Classification ID

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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