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A Log-Probability-Weighted-Moments type estimator for the extreme value index in a truncation scheme
The limit theorems of asymptotic behavior of tail index estimators for right truncation Pareto-like data requires some regularity assumptions either on tail indices (γ1 < γ2) or on the dependence structure condition between the truncation variable and
Benchaira, Souad +2 more
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Extreme quantile estimation for partial functional linear regression models with heavy-tailed distributions. [PDF]
Can J Stat, 2022 Zhu H, Li Y, Liu B, Yao W, Zhang R.
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Estimating Extreme Bivariate Quantile Regions
AMS 2000 subject classifications. Primary 62G32, 62G05; secondary 60G70, 60F05.
Krajina, A. +2 more
core
Multivariate Tail Coefficients: Properties and Estimation. [PDF]
Entropy (Basel), 2020 Gijbels I, Kika V, Omelka M.
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A nonparametric approach for quantile regression. [PDF]
J Stat Distrib Appl, 2018 Huang ML, Nguyen C.
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High quantile regression for extreme events. [PDF]
J Stat Distrib Appl, 2017 Huang ML, Nguyen C.
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ROC AND THE BOUNDS ON TAIL PROBABILITIES VIA THEOREMS OF DUBINS AND F. RIESZ. [PDF]
Ann Appl Probab, 2009 Clarkson E, Denny JL, Shepp L.
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A new blocks estimator for the extremal index
Communications in Statistics - Theory and Methods, 2023Marta Ferreira
exaly