High-Order Conditional Quantile Estimation Based on Nonparametric Models of Regression

DOI10.1080/07474938.2014.956612zbMath1491.62037OpenAlexW2132317897MaRDI QIDQ5863567

Carlos Martins-Filho, Maximo Torero, Feng Yao

Publication date: 3 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2014.956612

zbMATH Keywords

conditional quantileextreme value theorynonparametric regressiongeneralized Pareto distribution

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30)

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