Semiparametric Tail Index Regression

Abstract-Understanding why extreme events occur is often of major scientific interest in many fields. The occurrence of these events naturally depends on explanatory variables, but there is a severe lack of flexible models with asymptotic theory for understanding this dependence, especially when var...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Journal of business & economic statistics 2022, Vol.40 (1), p.82-95
Hauptverfasser:	Li, Rui, Leng, Chenlei, You, Jinhong
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic normality Extremes Pareto-type distribution Semiparametric regression Tail index
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!