Estimation of high conditional quantiles using the Hill estimator of the tail index
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Publication:286478
DOI10.1016/j.jspi.2016.03.003zbMath1343.62033MaRDI QIDQ286478
Feng Yang He, Ye Bin Cheng, Tie Jun 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
quantile regression; tail index; extreme value theory; Pickands estimator; Hill estimator; high conditional quantiles
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G32: Statistics of extreme values; tail inference