Nonparametric extreme conditional expectile estimation

DOI10.1111/SJOS.12502MaRDI QIDQ5872947zbMATH OpenOpenAlexFDO

Authors Stéphane Girard, Gilles Stupfler, Antoine Usseglio-Carleve

Publication date 5 January 2023

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/sjos.12502

zbMATH Keywords

heavy tailskernel estimationconditional distributionexpectilesextrapolationextreme value analysis

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(10)

• Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles
• Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
• Inference for extremal regression with dependent heavy-tailed data
• An expectile computation cookbook
• Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
• Semi-parametric estimation of multivariate extreme expectiles
• Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles
• Estimation of the adjusted standard-deviatile for extreme risks
• Nonparametric estimation of extreme conditional quantiles
• On automatic bias reduction for extreme expectile estimation

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