Test of tails based on extreme regression quantiles

DOI10.1016/S0167-7152(00)00031-6zbMath1054.62062OpenAlexW1998412120MaRDI QIDQ1579537

Jana Jureckova

Publication date: 2000

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(00)00031-6

zbMATH Keywords

Cramér-type large deviations(Extreme) regression quantilesConsistency of the testDomain of attractionPareto-type tails

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Statistics of extreme values; tail inference (62G32)

Related Items (8)

Heavy tailed durations of regional rainfall. ⋮ Testing the tail index in autoregressive models ⋮ Nonparametric ``regression when errors are positioned at end-points ⋮ A class of bootstrap tests on the tail index ⋮ Small Sample Robust Testing for Normality against Pareto Tails ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Review of testing issues in extremes: in honor of Professor Laurens de Haan ⋮ Finite sample tail behavior of multivariate location estimators

Cites Work

• Tail Behavior of Regression Estimators and their Breakdown Points
• Regression Quantiles
• Nonregular regression
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