We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Nonparametric Estimation of Extreme Conditional Quantiles with Functional Covariate.
- Authors
He, Feng Yang; Cheng, Ye Bin; Tong, Tie Jun
- Abstract
Estimation of the extreme conditional quantiles with functional covariate is an important problem in quantile regression. The existing methods, however, are only applicable for heavy-tailed distributions with a positive conditional tail index. In this paper, we propose a new framework for estimating the extreme conditional quantiles with functional covariate that combines the nonparametric modeling techniques and extreme value theory systematically. Our proposed method is widely applicable, no matter whether the conditional distribution of a response variable Y given a vector of functional covariates X is short, light or heavy-tailed. It thus enriches the existing literature.
- Subjects
NONPARAMETRIC estimation; QUANTILES; QUANTILE regression; NONPARAMETRIC statistics; REGRESSION quantiles
- Publication
Acta Mathematica Sinica, 2018, Vol 34, Issue 10, p1589
- ISSN
1439-8516
- Publication type
Article
- DOI
10.1007/s10114-018-7095-9