Statistical Regression Analysis of Threshold Excesses with Systematically Missing Covariates

DOI10.1137/140972184zbMath1317.62072OpenAlexW206526326MaRDI QIDQ5266235

Dimitri Igdalov, Olga Kaiser, Illia Horenko

Publication date: 30 July 2015

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/140972184

zbMATH Keywords

time series analysisextreme value theoryregressiongeneralized Pareto distributionsystematically missing information

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Statistics of extreme values; tail inference (62G32)

Uses Software

• R
• Gurobi
• ismev

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