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

DOI10.1016/J.JSPI.2016.03.003MaRDI QIDQ286478zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• Estimation of Extreme Conditional Quantiles Through Power Transformation
• Estimation of high conditional quantiles for heavy-tailed distributions
• Extremal quantile regression
• Extreme value theory. An introduction.
• Functional kernel estimators of large conditional quantiles
• Functional nonparametric estimation of conditional extreme quantiles
• Inference for extremal conditional quantile models, with an application to market and birthweight risks
• Kernel estimators of extreme level curves
• On kernel smoothing for extremal quantile regression

Cited in

(10)

• Extremal local linear quantile regression for nonlinear dependent processes
• 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
• High quantile regression for extreme events
• Prediction of Extremal Expectile Based on Regression Models With Heteroscedastic Extremes
• Scaling of high-quantile estimators
• A least square method on confidence regions for high quantile of heavy tailed distributions
• On the use of \(L\)-functionals in regression models

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