Tail dimension reduction for extreme quantile estimation
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Publication:1744176
DOI10.1007/s10687-017-0300-xzbMath1396.62097OpenAlexW2409075483MaRDI QIDQ1744176
Publication date: 16 April 2018
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-017-0300-x
Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)
Related Items (11)
Conditional marginal expected shortfall ⋮ Estimation for Extreme Conditional Quantiles of Functional Quantile Regression ⋮ Extreme Quantile Estimation Based on the Tail Single-index Model ⋮ Efficient estimation of partially linear tail index models using B‐splines ⋮ Tail inverse regression: dimension reduction for prediction of extremes ⋮ Gradient boosting for extreme quantile regression ⋮ Nonparametric confidence intervals for conditional quantiles with large-dimensional covariates ⋮ Principal component analysis for multivariate extremes ⋮ A nonparametric estimator for the conditional tail index of Pareto-type distributions ⋮ Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models ⋮ Extreme partial least-squares
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- Comment
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