Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles

Fengyang He, Yebin Cheng*, Tiejun TONG

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

7 Citations (Scopus)

Abstract

The paper proposes a new estimation method for the extreme conditional quantiles through an extrapolation of the intermediate regression quantiles for the linear quantile regression model, and obtains the asymptotic properties of the proposed estimator in the general framework.

Original languageEnglish
Pages (from-to)30-37
Number of pages8
JournalStatistics and Probability Letters
Volume113
DOIs
Publication statusPublished - 1 Jun 2016

Scopus Subject Areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

User-Defined Keywords

  • Extreme conditional quantile
  • Extreme value
  • Intermediate regression quantile

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