Estimation of high conditional quantiles using the Hill estimator of the tail index

DOI10.1016/j.jspi.2016.03.003zbMath1343.62033OpenAlexW2313562342MaRDI QIDQ286478

Tie Jun Tong, Ye Bin Cheng, Feng Yang He

Publication date: 20 May 2016

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2016.03.003

zbMATH Keywords

quantile regressiontail indexextreme value theoryPickands estimatorHill estimatorhigh conditional quantiles

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Extremal quantile autoregression for heavy-tailed time series ⋮ On the use of \(L\)-functionals in regression models ⋮ Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models

Cites Work

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• Functional nonparametric estimation of conditional extreme quantiles
• Kernel estimators of extreme level curves
• Functional kernel estimators of large conditional quantiles
• Extremal quantile regression
• On kernel smoothing for extremal quantile regression
• Estimation of Extreme Conditional Quantiles Through Power Transformation
• Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks
• Estimation of High Conditional Quantiles for Heavy-Tailed Distributions

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