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

Fengyang He; Yebin Cheng; Tiejun Tong

doi:10.1016/j.spl.2016.01.024

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

Fengyang He
, Yebin Cheng^*
, Tiejun Tong

^*Corresponding author for this work

Department of Mathematics

Research output: Contribution to journal › Journal article › peer-review

13 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 language	English
Pages (from-to)	30-37
Number of pages	8
Journal	Statistics and Probability Letters
Volume	113
DOIs	https://doi.org/10.1016/j.spl.2016.01.024
Publication status	Published - 1 Jun 2016

User-Defined Keywords

Extreme conditional quantile
Extreme value
Intermediate regression quantile

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10.1016/j.spl.2016.01.024

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title = "Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles",

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.",

keywords = "Extreme conditional quantile, Extreme value, Intermediate regression quantile",

author = "Fengyang He and Yebin Cheng and Tiejun Tong",

note = "Funding Information: Yebin Cheng{\textquoteright}s research was supported in part by the National Natural Science Foundation of China Grant (No. 11271241 ). Tiejun Tong{\textquoteright}s research was supported in part by the Hong Kong Baptist University FRG grants FRG1/14-15/044 and FRG2/14-15/084 . The authors thank the editor, the associate editor and one referee for their constructive comments that led to a substantial improvement of the paper. ",

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T1 - Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles

AU - He, Fengyang

AU - Cheng, Yebin

AU - Tong, Tiejun

N1 - Funding Information: Yebin Cheng’s research was supported in part by the National Natural Science Foundation of China Grant (No. 11271241 ). Tiejun Tong’s research was supported in part by the Hong Kong Baptist University FRG grants FRG1/14-15/044 and FRG2/14-15/084 . The authors thank the editor, the associate editor and one referee for their constructive comments that led to a substantial improvement of the paper.

PY - 2016/6/1

Y1 - 2016/6/1

N2 - 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.

AB - 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.

KW - Extreme conditional quantile

KW - Extreme value

KW - Intermediate regression quantile

UR - https://www.scopus.com/pages/publications/84960158328

U2 - 10.1016/j.spl.2016.01.024

DO - 10.1016/j.spl.2016.01.024

M3 - Journal article

AN - SCOPUS:84960158328

SN - 0167-7152

VL - 113

SP - 30

EP - 37

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

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

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