High quantile regression for extreme events

DOI10.1186/S40488-017-0058-3OpenAlexW2611918680WikidataQ59522390 ScholiaQ59522390MaRDI QIDQ1690455

Christine Nguyen, Mei Ling Huang

Publication date: 19 January 2018

Published in: Journal of Statistical Distributions and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s40488-017-0058-3

zbMATH Keywords

linear programmingconditional quantileextreme value distributiongeneralized Pareto distributionbivariate Pareto distributionweighted loss function

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Statistics of extreme values; tail inference (62G32)

Related Items (2)

Bayesian time-varying quantile regression on exceedance ⋮ A nonparametric approach for quantile regression

Cites Work

• Statistical inference using extreme order statistics
• Multivariate Pareto Distributions
• Regression Quantiles
• Goodness of Fit and Related Inference Processes for Quantile Regression
• A weighted linear quantile regression
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
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