Test of tails based on extreme regression quantiles
AbstractThe extreme regression quantiles, as analogues of the extreme-order statistics in the linear regression model, were first considered by Smith (1994, Biometrika 81, 173-183) and studied by Portnoy and Jurecková (1999, Extremes, to appear). They may have various important applications, parallel to those of the extreme value theory. We propose the test of the Pareto-type tail with index m, 0
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 49 (2000)
Issue (Month): 1 (August)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- He, Xuming, et al, 1990. "Tail Behavior of Regression Estimators and Their Breakdown Points," Econometrica, Econometric Society, vol. 58(5), pages 1195-1214, September.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
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