Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels

DOI10.1007/S10687-010-0100-ZzbMATH Open1238.62136OpenAlexW1963938936WikidataQ111094294 ScholiaQ111094294MaRDI QIDQ549644FDOQ549644

Authors: Laurent Gardes, Stéphane Girard 

Publication date: 18 July 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-010-0100-z

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zbMATH Keywords

nearest neighbor estimatorconditional extreme quantiles

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12) Order statistics; empirical distribution functions (62G30)

Cites Work

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Cited In (44)

• A note on tail dependence regression
• A nonparametric estimator for the conditional tail index of Pareto-type distributions
• Nonparametric regression estimation of conditional tails: the random covariate case
• Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise
• Extreme partial least-squares
• Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
• Trends in Extreme Value Indices
• Hypothesis testing for varying coefficient models in tail index regression
• Tail dimension reduction for extreme quantile estimation
• Extreme value inference for quantile regression with varying coefficients
• Depth level set estimation and associated risk measures
• Additive models for extremal quantile regression with Pareto-type distributions
• Functional kernel estimation of the conditional extreme value index under random right censoring
• Simple change point model in heteroscedastic extremes
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• Estimation of Extreme Conditional Quantiles Through Power Transformation
• 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
• Smooth copula-based generalized extreme value model and spatial interpolation for extreme rainfall in Central Eastern Canada
• Extreme Quantile Estimation for Autoregressive Models
• On the Strong Consistency of the Kernel Estimator of Extreme Conditional Quantiles
• Estimating the conditional tail index by integrating a kernel conditional quantile estimator
• Estimation of extreme survival probabilities with cox model
• Functional kernel estimators of large conditional quantiles
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• Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions
• Estimation of High Conditional Quantiles for Heavy-Tailed Distributions
• Nonparametric estimation of the conditional extreme-value index with random covariates and censoring
• Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles
• Uniform asymptotic properties of a nonparametric regression estimator of conditional tails
• Asymptotic behavior of the extrapolation error associated with the estimation of extreme quantiles
• Estimation of extreme quantiles from heavy-tailed distributions in a location-dispersion regression model
• Extreme Quantile Estimation Based on the Tail Single-index Model
• A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes
• Kernel estimation of extreme regression risk measures
• Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring
• Trend detection for heteroscedastic extremes
• Local Likelihood Estimation of Complex Tail Dependence Structures, Applied to U.S. Precipitation Extremes

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