Hypothesis testing for varying coefficient models in tail index regression

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Cites Work

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A moment estimator for the conditional extreme-value index
P-splines quantile regression estimation in varying coefficient models
Estimation of the conditional tail index using a smoothed local Hill estimator
Uniform asymptotic properties of a nonparametric regression estimator of conditional tails
Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
Statistical methods with varying coefficient models
A moment estimator for the index of an extreme-value distribution
Quantile regression with varying coefficients
Kernel estimates of the tail index of a distribution
Estimating tails of probability distributions
Statistical inference using extreme order statistics
A simple general approach to inference about the tail of a distribution
On the maximal deviation of k-dimensional density estimates
Semi-parametric estimation of the second order parameter in statistics of extremes
Statistical estimation in varying coefficient models
Quantile regression in varying-coefficient models: non-crossing quantile curves and heteroscedasticity
Generalized likelihood ratio statistics and Wilks phenomenon
A nonparametric estimator for the conditional tail index of Pareto-type distributions
On kernel smoothing for extremal quantile regression
Simultaneous Confidence Bands and Hypothesis Testing in Varying-coefficient Models
Nonparametric regression estimation of conditional tails: the random covariate case
Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
Asymptotic Confidence Regions for Kernel Smoothing of a Varying-Coefficient Model with Longitudinal Data
Functional-Coefficient Regression Models for Nonlinear Time Series
Varying-coefficient models and basis function approximations for the analysis of repeated measurements
Tail index varying coefficient model
Generalized Additive Models for Exceedances of High Thresholds With an Application to Return Level Estimation for U.S. Wind Gusts
Tail Index Regression
Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
Bootstrapping Extreme Value Estimators
Semiparametric Tail Index Regression

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