Nonparametric regression estimation of conditional tails: the random covariate case

DOI10.1080/02331888.2013.800064zbMATH Open1326.62088OpenAlexW2041555072MaRDI QIDQ2934818FDOQ2934818

Authors: Yuri Goegebeur, A. Schorgen, Armelle Guillou 

Publication date: 22 December 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2013.800064

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zbMATH Keywords

regressionPareto-type distributionbias-correctiontail indexkernel statistic

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Cites Work

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• Local Likelihood Smoothing of Sample Extremes
• Tail index regression
• A moving window approach for nonparametric estimation of the conditional tail index
• Generalized Additive Modelling of Sample Extremes
• Reduced-Bias Tail Index Estimators Under a Third-Order Framework
• Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
• Regression with response distributions of Pareto-type
• Local polynomial maximum likelihood estimation for Pareto-type distributions.
• Penalized likelihood inference in extreme value analyses
• Local estimation of the second-order parameter in extreme value statistics and local unbiased estimation of the tail index

Cited In (38)

• A nonparametric estimator for the conditional tail index of Pareto-type distributions
• A local moment type estimator for the extreme value index in regression with random covariates
• Extreme partial least-squares
• Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
• Trends in Extreme Value Indices
• Hypothesis testing for varying coefficient models in tail index regression
• Risk margin quantile function via parametric and non-parametric Bayesian approaches
• The stochastic approximation method for recursive kernel estimation of the conditional extreme value index
• Functional kernel estimation of the conditional extreme value index under random right censoring
• Local robust estimation of Pareto-type tails with random right censoring
• Tail index partition-based rules extraction with application to tornado damage insurance
• Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
• On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
• A refined Weissman estimator for extreme quantiles
• Kernel regression with Weibull-type tails
• Statistical inference on a changing extreme value dependence structure
• A moment estimator for the conditional extreme-value index
• Tail index varying coefficient model
• Estimation of the conditional tail index using a smoothed local Hill estimator
• Efficient estimation of partially linear tail index models using B‐splines
• An estimator for the tail index of an integrated conditional Pareto-Weibull-type model
• A moving window approach for nonparametric estimation of the conditional tail index
• Estimating the conditional tail index by integrating a kernel conditional quantile estimator
• Conditioning exceedances on covariate processes
• The dynamic power law model
• Extremal Random Forests
• Weighted estimation of conditional mean function with truncated, censored and dependent data
• Estimating the conditional extreme-value index under random right-censoring
• Nonparametric estimation of the conditional extreme-value index with random covariates and censoring
• Robust conditional Weibull-type estimation
• Local robust and asymptotically unbiased estimation of conditional Pareto-type tails
• Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles
• Uniform asymptotic properties of a nonparametric regression estimator of conditional tails
• Empirical likelihood based inference for conditional Pareto-type tail index
• Tail and quantile estimation for real-valued \(\beta\)-mixing spatial data
• Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring
• Testing the Multivariate Regular Variation Model
• Local polynomial maximum likelihood estimation for Pareto-type distributions.

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