Nonparametric regression estimation of conditional tails: the random covariate case
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Publication:2934818
DOI10.1080/02331888.2013.800064zbMATH Open1326.62088OpenAlexW2041555072MaRDI QIDQ2934818FDOQ2934818
A. Schorgen, Yuri Goegebeur, 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
Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)
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Cited In (32)
- 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
- Trends in Extreme Value Indices
- Hypothesis testing for varying coefficient models in tail index regression
- 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
- The dynamic power law model
- RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES
- 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
- Testing the Multivariate Regular Variation Model
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