Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
type: Item
instance of: scholarly article
title: Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
zbMATH Open document ID: 1486.62141
DOI: 10.1214/21-AOS2087
author: Stéphane Girard
author: Gilles Stupfler
author: Antoine Usseglio-Carleve
published in: The Annals of Statistics
publication date: 2022-02-07T00:00:00Z
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62G08
Mathematics Subject Classification ID: 62G20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7470039
zbMATH Keywords: expectiles
zbMATH Keywords: extreme value analysis
zbMATH Keywords: heavy-tailed distribution
zbMATH Keywords: heteroscedasticity
zbMATH Keywords: regression models
zbMATH Keywords: residual-based estimators
zbMATH Keywords: single-index model
zbMATH Keywords: tail empirical process of residuals
describes a project that uses: simest
MaRDI profile type: Publication
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full work available at URL: 21-aos2087
OpenAlex ID: W3014934082
description: scientific article; zbMATH DE number 7470039