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

DOI10.1016/J.JSPI.2016.03.003zbMATH Open1343.62033OpenAlexW2313562342MaRDI QIDQ286478FDOQ286478

Authors: Fengyang He, Yebin Cheng, Tiejun Tong 

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

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zbMATH Keywords

quantile regressionextreme value theoryHill estimatortail indexhigh conditional quantilesPickands estimator

Mathematics Subject Classification ID

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

Cites Work

• Extremal quantile regression
• Extreme value theory. An introduction.
• Title not available (Why is that?)
• Estimation of Extreme Conditional Quantiles Through Power Transformation
• Estimation of high conditional quantiles for heavy-tailed distributions
• Kernel estimators of extreme level curves
• On kernel smoothing for extremal quantile regression
• Functional nonparametric estimation of conditional extreme quantiles
• Functional kernel estimators of large conditional quantiles
• Inference for extremal conditional quantile models, with an application to market and birthweight risks

Cited In (7)

• Extremal quantile autoregression for heavy-tailed time series
• Estimation of high conditional quantiles for heavy-tailed distributions
• Inference about the tail of a distribution: improvement on the Hill estimator
• Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
• Prediction of Extremal Expectile Based on Regression Models With Heteroscedastic Extremes
• Scaling of high-quantile estimators
• On the use of \(L\)-functionals in regression models

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