Estimation of the conditional tail index using a smoothed local Hill estimator
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Cites work
- scientific article; zbMATH DE number 4159879 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- A moving window approach for nonparametric estimation of the conditional tail index
- A simple general approach to inference about the tail of a distribution
- Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
- Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
- Extreme value theory. An introduction.
- Generalized Additive Modelling of Sample Extremes
- Kernel estimators of extreme level curves
- Local Likelihood Smoothing of Sample Extremes
- Nonparametric regression estimation of conditional tails: the random covariate case
- On exponential representations of log-spacings of extreme order statistics
- On kernel smoothing for extremal quantile regression
- Optimal bandwidth selection in nonparametric regression function estimation
- Probability Inequalities for Sums of Bounded Random Variables
- Statistics of Extremes
- Tail index regression
Cited in
(37)- Local polynomial maximum likelihood estimation for Pareto-type distributions.
- A nonparametric estimator for the conditional tail index of Pareto-type distributions
- Smooth tail-index estimation
- Nonparametric confidence intervals for conditional quantiles with large-dimensional covariates
- Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- A local moment type estimator for an extreme quantile in regression with random covariates
- Hypothesis testing for varying coefficient models in tail index regression
- Estimation of high conditional quantiles using the Hill estimator of the tail index
- Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
- 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
- Estimating conditional means with heavy tails
- Kernel regression with Weibull-type tails
- A moment estimator for the conditional extreme-value index
- Tail index varying coefficient model
- Hill estimator of projections of functional data on principal components
- Efficient estimation of partially linear tail index models using B‐splines
- Partially smooth tail-index estimation for small samples
- Estimating the conditional tail index by integrating a kernel conditional quantile estimator
- Estimation of extreme quantiles from heavy-tailed distributions with neural networks
- The dynamic power law model
- Improved estimation of the extreme value index using related variables
- 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
- Extremal Random Forests
- Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles
- Uniform asymptotic properties of a nonparametric regression estimator of conditional tails
- Local Estimation of the Conditional Stable Tail Dependence Function
- Dynamic tail inference with log-Laplace volatility
- On Smooth Statistical Tail Functionals
- Estimation of extreme quantiles from heavy-tailed distributions in a location-dispersion regression model
- A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes
- Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
- Extreme quantiles and tail index of a distribution based on kernel estimator
- Testing the Multivariate Regular Variation Model
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