Regression with response distributions of Pareto-type
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Publication:951893
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Cites work
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- A moment estimator for the index of an extreme-value distribution
- A simple general approach to inference about the tail of a distribution
- Burr regression and portfolio segmentation
- Cumulative Frequency Functions
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Estimating tails of probability distributions
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Excess functions and estimation of the extreme-value index
- Fitting the Generalized Pareto Distribution to Data
- Kernel estimates of the tail index of a distribution
- Maximum likelihood estimation in a class of nonregular cases
- Parameter and Quantile Estimation for the Generalized Pareto Distribution
- Statistical inference using extreme order statistics
- Tail index estimation and an exponential regression model
Cited in
(37)- A note on tail dependence regression
- Local polynomial maximum likelihood estimation for Pareto-type distributions.
- A nonparametric estimator for the conditional tail index of Pareto-type distributions
- Nonparametric regression estimation of conditional tails: the random covariate case
- Pareto Regression: A Bayesian Analysis
- Local estimation of the second-order parameter in extreme value statistics and local unbiased estimation of the tail index
- A goodness-of-fit statistic for Pareto-type behaviour
- Tail index estimation and an exponential regression model
- Bayesian modelling of the time delay between diagnosis and settlement for critical illness insurance using a Burr generalised-linear-type model
- Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
- Rank -1/2: a simple way to improve the OLS estimation of tail exponents
- Estimation of high conditional quantiles for heavy-tailed distributions
- On marine liability portfolio modeling
- On generalized log-Moyal distribution: a new heavy tailed size distribution
- Functional nonparametric estimation of conditional extreme quantiles
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- Tail index estimation in the presence of covariates: stock returns' tail risk dynamics
- Estimation of Extreme Conditional Quantiles Through Power Transformation
- Penalized quasi-likelihood estimation of generalized Pareto regression -- consistent identification of risk factors for extreme losses
- Kernel estimators of extreme level curves
- Cyber claim analysis using generalized Pareto regression trees with applications to insurance
- Bayesian inference for double Pareto lognormal queues
- Reiss and Thomas' automatic selection of the number of extremes
- Efficient estimation of partially linear tail index models using B‐splines
- A new class of copula regression models for modelling multivariate heavy-tailed data
- A moving window approach for nonparametric estimation of the conditional tail index
- Estimating the conditional tail index by integrating a kernel conditional quantile estimator
- Functional kernel estimators of large conditional quantiles
- Lomax regression model with varying precision: formulation, estimation, diagnostics, and application
- Closed-form maximum likelihood estimator for generalized linear models in the case of categorical explanatory variables: application to insurance loss modeling
- Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles
- Polynomial power-Pareto quantile function models
- Tail index regression
- Empirical likelihood based inference for conditional Pareto-type tail index
- Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
- Extreme Quantile Estimation Based on the Tail Single-index Model
- The exponentiated Fréchet regression: an alternative model for actuarial modelling purposes
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