Tail dimension reduction for extreme quantile estimation
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- scientific article; zbMATH DE number 5492169
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- Extreme Quantile Estimation Based on the Tail Single-index Model
- Estimation of extreme quantiles from heavy and light tailed distributions
- Tail estimates motivated by extreme value theory
- Improved reduced-bias tail index and quantile estimators
- A new extreme quantile estimator for heavy-tailed distributions
- Bias reduction and explicit semi-parametric estimation of the tail index
- Extremal quantile regression
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- A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes
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- Comment
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Cited in
(14)- Conditional marginal expected shortfall
- A nonparametric estimator for the conditional tail index of Pareto-type distributions
- Tail inverse regression: dimension reduction for prediction of extremes
- Nonparametric confidence intervals for conditional quantiles with large-dimensional covariates
- Extreme partial least-squares
- Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
- Gradient boosting for extreme quantile regression
- Principal component analysis for multivariate extremes
- Efficient estimation of partially linear tail index models using B‐splines
- Reduced form vector directional quantiles
- Shrinkage for extreme partial least-squares
- Estimation for Extreme Conditional Quantiles of Functional Quantile Regression
- scientific article; zbMATH DE number 5492169 (Why is no real title available?)
- Extreme Quantile Estimation Based on the Tail Single-index Model
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