Estimating the conditional tail index by integrating a kernel conditional quantile estimator
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Publication:434577
DOI10.1016/J.JSPI.2012.01.011zbMATH Open1242.62039OpenAlexW1995878269MaRDI QIDQ434577FDOQ434577
Authors: A. Schorgen, Armelle Guillou, Laurent Gardes 
Publication date: 16 July 2012
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00578479/file/kernelgam.pdf
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Cited In (15)
- A note on tail dependence regression
- Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
- Estimation of high conditional quantiles for heavy-tailed distributions
- Kernel estimation of the tail index of a right-truncated Pareto-type distribution
- Estimating conditional means with heavy tails
- Estimation of Extreme Conditional Quantiles Through Power Transformation
- Kernel estimators of extreme level curves
- Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions
- Estimation of the conditional tail index using a smoothed local Hill estimator
- Fixed-k Inference for Conditional Extremal Quantiles
- A moving window approach for nonparametric estimation of the conditional tail index
- Estimation for Extreme Conditional Quantiles of Functional Quantile Regression
- Extreme Quantile Estimation Based on the Tail Single-index Model
- Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
- Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
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