Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
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Publication:2073711
DOI10.1214/21-AOS2087zbMath1486.62141OpenAlexW3014934082MaRDI QIDQ2073711
Gilles Stupfler, Stéphane Girard, Antoine Usseglio-Carleve
Publication date: 7 February 2022
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/21-aos2087
extreme value analysisheteroscedasticityheavy-tailed distributionregression modelssingle-index modelexpectilesresidual-based estimatorstail empirical process of residuals
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)
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Uses Software
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