Gradient boosting for extreme quantile regression

DOI10.1007/s10687-023-00473-xarXiv2103.00808OpenAlexW3135716056MaRDI QIDQ6144813

Sebastian Engelke, Jasper Velthoen, Clément Dombry, Juan-Juan Cai

Publication date: 8 January 2024

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.00808

zbMATH Keywords

extreme value theorygeneralized Pareto distributiontree-based methodsgradient boostingextreme quantile regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Extreme value theory; extremal stochastic processes (60G70)

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