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

被引：11
|
作者：
He, Fengyang [1 ]
Cheng, Yebin [2 ]
Tong, Tiejun [3 ]
机构：
[1] Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China
[2] Donghua Univ, Glorious Sun Sch Business & Management, Shanghai, Peoples R China
[3] Hong Kong Baptist Univ, Dept Math, Hong Kong, Hong Kong, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2016年 / 113卷
基金：
中国国家自然科学基金;
关键词：
Extreme conditional quantile; Intermediate regression quantile; Extreme value; MODELS;
D O I：
10.1016/j.spl.2016.01.024
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：30 / 37
页数：8
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