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

DOI10.1016/J.SPL.2016.01.024MaRDI QIDQ274159zbMATHOpenAlexFDO

Authors Fengyang He, Yebin Cheng, Tiejun Tong

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)

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Cites work

• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• Estimation of high conditional quantiles for heavy-tailed distributions
• Extremal quantile regression
• Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
• Extreme value theory. An introduction.
• Kernel estimators of extreme level curves
• Local Likelihood Smoothing of Sample Extremes
• On kernel smoothing for extremal quantile regression
• Understanding Relationships Using Copulas

Cited in

(20)

• Estimation of extreme conditional quantiles
• Prediction of Extremal Expectile Based on Regression Models With Heteroscedastic Extremes
• Extreme value inference for quantile regression with varying coefficients
• Nonparametric smoothing for extremal quantile regression with heavy tailed data
• Extremal linear quantile regression with Weibull-type tails
• Regression estimators based on conditional quantiles
• Online prediction of extreme conditional quantiles via B-spline interpolation
• Estimation of extreme conditional quantiles under a general tail-first-order condition
• Estimation of high conditional quantiles using the Hill estimator of the tail index
• Adjusted extreme conditional quantile autoregression with application to risk measurement
• Estimation for Extreme Conditional Quantiles of Functional Quantile Regression
• scientific article; zbMATH DE number 5770651 (Why is no real title available?)
• Additive models for extremal quantile regression with Pareto-type distributions
• A new weighted quantile regression
• Extremal quantile regression
• Estimation of high conditional quantiles for heavy-tailed distributions
• Nonparametric estimation of extreme conditional quantiles with functional covariate
• Improving precipitation forecasts using extreme quantile regression
• Extremal quantile autoregression for heavy-tailed time series
• Simultaneous confidence bands for extremal quantile regression with splines

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