Tail index varying coefficient model
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Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 4159879 (Why is no real title available?)
- scientific article; zbMATH DE number 3824949 (Why is no real title available?)
- scientific article; zbMATH DE number 472973 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- A local moment type estimator for the extreme value index in regression with random covariates
- A moment estimator for the conditional extreme-value index
- A moment estimator for the index of an extreme-value distribution
- A moving window approach for nonparametric estimation of the conditional tail index
- A simple general approach to inference about the tail of a distribution
- Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function
- Asymptotic normality of least-squares estimators of tail indices
- Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
- Efficient Estimation and Inferences for Varying-Coefficient Models
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Estimating tails of probability distributions
- Estimating the conditional extreme-value index under random right-censoring
- Estimation of Extreme Conditional Quantiles Through Power Transformation
- Estimation of the conditional tail index using a smoothed local Hill estimator
- Extreme value theory. An introduction.
- Functional kernel estimators of large conditional quantiles
- Functional-Coefficient Autoregressive Models
- Kernel estimates of the tail index of a distribution
- Kernel estimators of extreme level curves
- Local Likelihood Smoothing of Sample Extremes
- Local linear regression smoothers and their minimax efficiencies
- Local polynomial maximum likelihood estimation for Pareto-type distributions.
- Multivariate locally weighted least squares regression
- Nonparametric regression estimation of conditional tails: the random covariate case
- On Smooth Statistical Tail Functionals
- On kernel smoothing for extremal quantile regression
- Partially Linear Hazard Regression with Varying Coefficients for Multivariate Survival Data
- SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
- Statistical estimation in varying coefficient models
- Tail index estimation and an exponential regression model
- Tail index regression
- Uniform asymptotic properties of a nonparametric regression estimator of conditional tails
Cited in
(7)- Hypothesis testing for varying coefficient models in tail index regression
- Tail index partition-based rules extraction with application to tornado damage insurance
- Efficient estimation of partially linear tail index models using B‐splines
- Single-index models for extreme value index regression
- From scarcity to insight: extreme events analysis with a partially linear single-index varying-coefficient model in high-dimensional settings
- Tail single-index regression with locally stationary regressors
- Mixed effects models for extreme value index regression
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