Online prediction of extreme conditional quantiles via B-spline interpolation

DOI10.1007/S11222-024-10515-4MaRDI QIDQ6657809zbMATH OpenFDO

Authors Zhengpin Li, Jian Wang, Yanxi Hou

Publication date 7 January 2025

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11222-024-10515-4

zbMATH Keywords

B-splinesextreme conditional quantilegeneralized Pareto distributionquantile regression

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Statistics of extreme values; tail inference (62G32)

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Cites work

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• Splines and PDEs: from approximation theory to numerical linear algebra. Lecture notes from the summer school, Cetraro, Italy, July 2--7, 2017
• Statistical inference using extreme order statistics
• Three-step risk inference in insurance ratemaking

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