Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles
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Cites work
- scientific article; zbMATH DE number 4159879 (Why is no real title available?)
- scientific article; zbMATH DE number 3824949 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 6458302 (Why is no real title available?)
- A diagnostic for selecting the threshold in extreme value analysis
- A hidden renewal model for monitoring aquatic systems biosensors
- A moment estimator for the conditional extreme-value index
- A moving window approach for nonparametric estimation of the conditional tail index
- Adaptive estimates of parameters of regular variation
- Asymptotic Normality of Extreme Quantile Estimators Based on the Peaks-Over-Threshold Approach
- Best attainable rates of convergence for estimates of parameters of regular variation
- Comparison of kernel density estimators with assumption on number of modes
- Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Estimation of extreme quantiles from heavy and light tailed distributions
- Estimation of the conditional tail index using a smoothed local Hill estimator
- Estimation of the extreme survival probabilities from censored data
- Estimation of the survival probabilities by adjusting a Cox model to the tail
- Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
- Local Likelihood Smoothing of Sample Extremes
- Local Regression and Likelihood
- Local polynomial maximum likelihood estimation for Pareto-type distributions.
- Multiscale local change point detection with applications to value-at-risk
- Nonparametric regression estimation of conditional tails: the random covariate case
- Optimal global rates of convergence for nonparametric regression
- Pareto approximation of the tail by local exponential modeling
- Regression with response distributions of Pareto-type
- Selecting the optimal sample fraction in univariate extreme value estimation
- Statistics of Extremes
- Statistics of extremes by oracle estimation
- The Kernel Estimate of a Regression Function in Likelihood-Based Models
Cited in
(14)- Extreme value analysis within a parametric outlier detection framework
- A modeler's guide to extreme value software
- Heavy-Tailed Density Estimation
- Extreme value inference for quantile regression with varying coefficients
- Nonparametric recursive estimation of the derivative of the regression function with application to sea shores water quality
- Additive models for extremal quantile regression with Pareto-type distributions
- On the maximum penalized full likelihood approach for Cox model with extreme value for heavily censored survival data
- Correcting for Endogeneity in Models with Bunching
- Design-adaptive nonparametric estimation of conditional quantile derivatives
- A nonparametric statistical procedure for the detection of marine pollution
- Nonparametric smoothing for extremal quantile regression with heavy tailed data
- Cyber risk frequency, severity and insurance viability
- On a discrete symmetric optimal associated kernel for estimating count data distributions
- Estimation of extreme survival probabilities with Cox model
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