Cross-validation on extreme regions

Nonparametric regression and quantile regression (62G08) Statistics of extreme values; tail inference (62G32) Nonparametric statistical resampling methods (62G09)

Cites Work

Unnamed Item
Unnamed Item
A continuous updating weighted least squares estimator of tail dependence in high dimensions
On regular variation of probability densities
Estimation of extreme risk regions under multivariate regular variation
An M-estimator for tail dependence in arbitrary dimensions
Concentration inequalities for order statistics
On cross-validated Lasso in high dimensions
Tail index estimation, concentration and adaptivity
A survey of cross-validation procedures for model selection
Limit theorems for tail processes with application to intermediate quantile estimation
A finite sample distribution-free performance bound for local discrimination rules
Probabilistic methods for algorithmic discrete mathematics
Statistical behavior and consistency of classification methods based on convex risk minimization.
Cyber claim analysis using generalized Pareto regression trees with applications to insurance
Principal component analysis for multivariate extremes
Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
Uniform concentration bounds for frequencies of rare events
\(k\)-means clustering of extremes
Sparse representation of multivariate extremes with applications to anomaly detection
On kernel smoothing for extremal quantile regression
Extreme-quantile tracking for financial time series
Adaptive and minimax optimal estimation of the tail coefficient
Choice of V for V-Fold Cross-Validation in Least-Squares Density Estimation
Cross-Validation, Risk Estimation, and Model Selection: Comment on a Paper by Rosset and Tibshirani
Theory of Classification: a Survey of Some Recent Advances
Oracle inequalities for multi-fold cross validation
Regular variation for measures on metric spaces
Distribution-free performance bounds for potential function rules
High-Dimensional Probability
10.1162/153244302760200704
Concentration inequalities of the cross-validation estimator for empirical risk minimizer
Risk consistency of cross-validation with Lasso-type procedures
An M-Estimator of Spatial Tail Dependence
Convexity, Classification, and Risk Bounds
Decompositions of dependence for high-dimensional extremes
On consistency of kernel density estimators for randomly censored data: Rates holding uniformly over adaptive intervals
Structure Learning for Extremal Tree Models
Gradient boosting for extreme quantile regression
Peaks Over Thresholds Modeling With Multivariate Generalized Pareto Distributions
Concentration bounds for the empirical angular measure with statistical learning applications

This page was built for publication: Cross-validation on extreme regions