Extreme Quantile Estimation Based on the Tail Single-index Model

DOI10.5705/ss.202020.0051OpenAlexW3175709607MaRDI QIDQ5066779

Deyuan Li, Wen Xu, Huixia Judy Wang

Publication date: 30 March 2022

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202020.0051

zbMATH Keywords

local linear regressiontailsingle-indexsemi-parametricextreme quantile

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Discussion on “on studying extreme values and systematic risks with nonlinear time series models and tail dependence measures” ⋮ Conditional marginal expected shortfall

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