Regression with response distributions of Pareto-type
From MaRDI portal
Publication:951893
DOI10.1016/S0167-9473(02)00120-2zbMath1429.62078OpenAlexW2057981600MaRDI QIDQ951893
Publication date: 4 November 2008
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-9473(02)00120-2
extreme-value indexexponential regression modelgeneralized residualsPareto quantile plotprofile likelihood function
Related Items (30)
A new class of copula regression models for modelling multivariate heavy-tailed data ⋮ Extreme Quantile Estimation Based on the Tail Single-index Model ⋮ Nonparametric regression estimation of conditional tails: the random covariate case ⋮ Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions ⋮ A note on tail dependence regression ⋮ Bayesian inference for double Pareto lognormal queues ⋮ Efficient estimation of partially linear tail index models using B‐splines ⋮ Tail index estimation in the presence of covariates: stock returns' tail risk dynamics ⋮ Bayesian modelling of the time delay between diagnosis and settlement for critical illness insurance using a Burr generalised-linear-type model ⋮ Empirical likelihood based inference for conditional Pareto-type tail index ⋮ Estimating the conditional tail index by integrating a kernel conditional quantile estimator ⋮ Functional kernel estimators of large conditional quantiles ⋮ Unnamed Item ⋮ Local polynomial maximum likelihood estimation for Pareto-type distributions. ⋮ Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles ⋮ On generalized log-Moyal distribution: a new heavy tailed size distribution ⋮ Estimation of High Conditional Quantiles for Heavy-Tailed Distributions ⋮ Local Estimation of the Second-Order Parameter in Extreme Value Statistics and Local Unbiased Estimation of the Tail Index ⋮ Reiss and Thomas' automatic selection of the number of extremes ⋮ A moving window approach for nonparametric estimation of the conditional tail index ⋮ Kernel estimators of extreme level curves ⋮ Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels ⋮ Cyber claim analysis using generalized Pareto regression trees with applications to insurance ⋮ ON MARINE LIABILITY PORTFOLIO MODELING ⋮ A nonparametric estimator for the conditional tail index of Pareto-type distributions ⋮ The exponentiated Fréchet regression: an alternative model for actuarial modelling purposes ⋮ Closed-form maximum likelihood estimator for generalized linear models in the case of categorical explanatory variables: application to insurance loss modeling ⋮ Functional nonparametric estimation of conditional extreme quantiles ⋮ A goodness-of-fit statistic for Pareto-type behaviour ⋮ Estimation of Extreme Conditional Quantiles Through Power Transformation
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A moment estimator for the index of an extreme-value distribution
- Kernel estimates of the tail index of a distribution
- Estimating tails of probability distributions
- Statistical inference using extreme order statistics
- A simple general approach to inference about the tail of a distribution
- Burr regression and portfolio segmentation
- Excess functions and estimation of the extreme-value index
- Tail index estimation and an exponential regression model
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Maximum likelihood estimation in a class of nonregular cases
- Parameter and Quantile Estimation for the Generalized Pareto Distribution
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Fitting the Generalized Pareto Distribution to Data
- Cumulative Frequency Functions
This page was built for publication: Regression with response distributions of Pareto-type
