High-Order Conditional Quantile Estimation Based on Nonparametric Models of Regression

DOI10.1080/07474938.2014.956612MaRDI QIDQ5863567zbMATH OpenOpenAlexFDO

Authors Carlos Martins-Filho, Feng Yao, Maximo Torero

Publication date 3 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2014.956612

zbMATH Keywords

nonparametric regressionextreme value theoryconditional quantilegeneralized Pareto distribution

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30)

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Cites work

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• Regression Quantiles
• Statistical inference using extreme order statistics
• Tail estimates motivated by extreme value theory

Cited in

(7)

• The Special Issue in Honor of Aman Ullah: An Overview
• A nonparametric approach for quantile regression
• Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
• On Additive Conditional Quantiles With High-Dimensional Covariates
• Extremal Random Forests
• CONDITIONAL MARGINAL TEST FOR HIGH DIMENSIONAL QUANTILE REGRESSION
• Random weighting-based quantile estimation via importance resampling

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