Nonparametric regression estimation of conditional tails: the random covariate case
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Publication:2934818
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Cites work
- scientific article; zbMATH DE number 765034 (Why is no real title available?)
- A moving window approach for nonparametric estimation of the conditional tail index
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- Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
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- Regression with response distributions of Pareto-type
- Semi-parametric estimation for heavy tailed distributions
- Semi-parametric estimation of the second order parameter in statistics of extremes
- Statistical inference using extreme order statistics
- Statistics of Extremes
- Tail index estimation and an exponential regression model
- Tail index regression
Cited in
(38)- Local polynomial maximum likelihood estimation for Pareto-type distributions.
- 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
- Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
- Tail index partition-based rules extraction with application to tornado damage insurance
- On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
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- A refined Weissman estimator for extreme quantiles
- Estimation of the conditional tail index using a smoothed local Hill estimator
- Statistical inference on a changing extreme value dependence structure
- Tail index varying coefficient model
- 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
- Estimating the conditional extreme-value index under random right-censoring
- Nonparametric estimation of the conditional extreme-value index with random covariates and censoring
- Weighted estimation of conditional mean function with truncated, censored and dependent data
- Robust conditional Weibull-type estimation
- Extremal Random Forests
- 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
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