Extremile Regression
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Publication:5881158
DOI10.1080/01621459.2021.1875837zbMath1506.62296OpenAlexW4205321030MaRDI QIDQ5881158
Irène Gijbels, Abdelaati Daouia, Gilles Stupfler
Publication date: 9 March 2023
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/01621459.2021.1875837
Nonparametric regression and quantile regression (62G08) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
Related Items (3)
A modeler's guide to extreme value software ⋮ When copulas and smoothing met: an interview with Irène Gijbels ⋮ Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
Cites Work
- Asymmetric Least Squares Estimation and Testing
- A moment estimator for the conditional extreme-value index
- Conditional empirical processes
- Asymptotics of conditional empirical processes
- Kernel estimators of extreme level curves
- Generalized quantiles as risk measures
- A local moment type estimator for an extreme quantile in regression with random covariates
- Local Linear Quantile Regression
- Asymmetric least squares regression estimation: A nonparametric approach∗
- Estimation of Tail Risk Based on Extreme Expectiles
- On Projection‐type Estimators of Multivariate Isotonic Functions
- Extremiles: A New Perspective on Asymmetric Least Squares
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