Nonparametric extreme conditional expectile estimation

DOI10.1111/SJOS.12502OpenAlexW2942732440MaRDI QIDQ5872947

Gilles Stupfler, Stéphane Girard, Antoine Usseglio-Carleve

Publication date: 5 January 2023

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12502

zbMATH Keywords

extreme value analysiskernel estimationextrapolationheavy tailsconditional distributionexpectiles

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (5)

On automatic bias reduction for extreme expectile estimation ⋮ Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions ⋮ Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles ⋮ Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model ⋮ Inference for extremal regression with dependent heavy-tailed data

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