Inference for extremal regression with dependent heavy-tailed data
DOI10.1214/23-aos2320OpenAlexW4281285386MaRDI QIDQ6183770
Abdelaati Daouia, Antoine Usseglio-Carleve, Gilles Stupfler
Publication date: 4 January 2024
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/journals/annals-of-statistics/volume-51/issue-5/Inference-for-extremal-regression-with-dependent-heavy-tailed-data/10.1214/23-AOS2320.full
extreme value analysismixingheavy tailsnonparametric regressioninferenceconditional quantilesconditional expectiles
Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)
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