A local moment type estimator for an extreme quantile in regression with random covariates

DOI10.1080/03610926.2014.991039zbMath1367.62161OpenAlexW2525718357MaRDI QIDQ2980063

Michael Osmann, Yuri Goegebeur, Armelle Guillou

Publication date: 27 April 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.991039

zbMATH Keywords

earthquakeextreme quantilemax-domain of attractionlocal estimation

Mathematics Subject Classification ID

Applications of statistics to environmental and related topics (62P12) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items (5)

Extremile Regression ⋮ Extreme value inference for quantile regression with varying coefficients ⋮ Additive models for extremal quantile regression with Pareto-type distributions ⋮ Unnamed Item ⋮ Estimation of extreme conditional quantiles under a general tail-first-order condition

Cites Work

• A moment estimator for the conditional extreme-value index
• Estimation of the conditional tail index using a smoothed local Hill estimator
• On the estimation of the extreme-value index and large quantile estimation
• A moment estimator for the index of an extreme-value distribution
• Kernel estimators of extreme level curves
• On kernel smoothing for extremal quantile regression
• Tail Index Regression
• On Estimation of a Probability Density Function and Mode

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