Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
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Publication:6171950
DOI10.1016/j.insmatheco.2023.04.001zbMath1520.91318MaRDI QIDQ6171950
Hongfang Sun, Yu Chen, Mengyuan Ma
Publication date: 18 July 2023
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
heavy-tailed distributionextreme value theoryinferenceheteroscedastic regressionconditional extremiles
Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Actuarial mathematics (91G05)
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