Estimation of High Conditional Quantiles for Heavy-Tailed Distributions

DOI10.1080/01621459.2012.716382zbMath1258.62053WikidataQ57429680 ScholiaQ57429680MaRDI QIDQ4904723

Deyuan Li, Xuming He, Huixia Judy Wang

Publication date: 31 January 2013

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2012.716382

zbMATH Keywords

extreme values; quantile regression; extrapolation; downscaling; high quantiles

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G20: Asymptotic properties of nonparametric inference

62P12: Applications of statistics to environmental and related topics

62G32: Statistics of extreme values; tail inference

Related Items

Unnamed Item, A two-stage procedure to pool information across quantile levels in linear quantile regression, Estimation for Extreme Conditional Quantiles of Functional Quantile Regression, Extreme Quantile Estimation Based on the Tail Single-index Model, Extreme value inference for quantile regression with varying coefficients, Extreme values identification in regression using a peaks-over-threshold approach, Extremal linear quantile regression with Weibull-type tails, ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION, A weighted linear quantile regression, Discussion on “on studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”, Analysis of wildfires and their extremes via spatial quantile autoregressive model, Nonparametric inference on smoothed quantile regression process, Robust estimation and regression with parametric quantile functions, Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles, Estimation of high conditional quantiles using the Hill estimator of the tail index, A note on tail dependence regression, Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model, Linear quantile regression models for longitudinal experiments: an overview, Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring, Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors, Local robust estimation of Pareto-type tails with random right censoring, Estimation of spatio-temporal extreme distribution using a quantile factor model, Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models, Scoring predictions at extreme quantiles, GMM quantile regression, Additive models for extremal quantile regression with Pareto-type distributions, Improving precipitation forecasts using extreme quantile regression, Simultaneous confidence bands for extremal quantile regression with splines, Local robust and asymptotically unbiased estimation of conditional Pareto-type tails, Bayesian joint-quantile regression, Extremal quantile autoregression for heavy-tailed time series, Depth level set estimation and associated risk measures, Measurement of risk based on QR-GARCH-EVT model, Estimation of Non-Crossing Quantile Regression Curves, Estimation of Extreme Conditional Quantiles Through Power Transformation, Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions, Multilevel quantile function modeling with application to birth outcomes

Cites Work

• Estimating the conditional tail index by integrating a kernel conditional quantile estimator
• Bivariate downscaling with asynchronous measurements
• Statistical downscaling of extreme precipitation events using extreme value theory
• Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
• A note on L-estimates for linear models
• Semi-parametric second-order reduced-bias high quantile estimation
• On the estimation of the extreme-value index and large quantile estimation
• Composite quantile regression and the oracle model selection theory
• Regression with response distributions of Pareto-type
• Improving extreme quantile estimation via a folding procedure
• Bias reduction for high quantiles
• Functional nonparametric estimation of conditional extreme quantiles
• Censored regression quantiles
• A simple general approach to inference about the tail of a distribution
• Excess functions and estimation of the extreme-value index
• Local polynomial maximum likelihood estimation for Pareto-type distributions.
• Quantile regression for longitudinal data
• Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
• Extremal quantile regression
• On testing extreme value conditions
• Quantile and Probability Curves Without Crossing
• Robust Tests for Heteroscedasticity Based on Regression Quantiles
• Censored Regression Quantiles
• Nonparametric estimation of extreme conditional quantiles
• Tail Index Regression
• Generalized Additive Modelling of Sample Extremes