Nonparametric estimation of extreme conditional quantiles

DOI10.1080/00949650310001623407zbMath1045.62044OpenAlexW2133054323MaRDI QIDQ4818622

Yuri Goegebeur, Tertius de Wet, Jan Beirlant

Publication date: 29 September 2004

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/657396

zbMATH Keywords

Quantile regressionExtrapolationExtreme value indexLocal polynomial estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Nonparametric statistical resampling methods (62G09)

Related Items (12)

Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring ⋮ Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions ⋮ A note on tail dependence regression ⋮ Extreme quantile regression for tail single-index varying-coefficient models ⋮ Extreme values identification in regression using a peaks-over-threshold approach ⋮ Estimation of High Conditional Quantiles for Heavy-Tailed Distributions ⋮ Unnamed Item ⋮ Estimation of Non-Crossing Quantile Regression Curves ⋮ Robust estimation and regression with parametric quantile functions ⋮ Improving precipitation forecasts using extreme quantile regression ⋮ Estimation of Extreme Conditional Quantiles Through Power Transformation ⋮ Conditional VAR and Expected Shortfall: A New Functional Approach

Uses Software

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