Nonparametric extreme conditional expectile estimation
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DOI: 10.1111/sjos.12502
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Citations
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Cited by:
- Abdelaati Daouia & Irène Gijbels & Gilles Stupfler, 2022.
"Extremile Regression,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(539), pages 1579-1586, September.
- Abdelaati Daouia & Irene Gijbels & Gilles Stupfler, 2021. "Extremile regression," Post-Print hal-03181017, HAL.
- Daouia, Abdelaati & Gijbels, Irene & Stupfler, Gilles, 2021. "Extremile Regression," TSE Working Papers 21-1176, Toulouse School of Economics (TSE).
- Daouia, Abdelaati & Stupfler, Gilles, 2024. "Extremile Regression," TSE Working Papers 24-1546, Toulouse School of Economics (TSE).
- Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2023.
"An expectile computation cookbook,"
TSE Working Papers
23-1458, Toulouse School of Economics (TSE).
- Abdelaati Daouia & Gilles Stupfler & Antoine Usseglio-Carleve, 2024. "An expectile computation cookbook," Post-Print hal-04524319, HAL.
- Di Bernardino, Elena & Laloë, Thomas & Pakzad, Cambyse, 2024. "Estimation of extreme multivariate expectiles with functional covariates," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
- Ahmad Aboubacrène Ag & Deme El Hadji & Diop Aliou & Girard Stéphane, 2019. "Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions," Dependence Modeling, De Gruyter, vol. 7(1), pages 394-417, January.
- Chen, Yu & Ma, Mengyuan & Sun, Hongfang, 2023. "Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 142-162.
- Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022.
"Inference for extremal regression with dependent heavy-tailed data,"
TSE Working Papers
22-1324, Toulouse School of Economics (TSE), revised 29 Aug 2023.
- Abdelaati Daouia & Gilles Claude Stupfler & Antoine Usseglio-Carleve, 2023. "Inference for extremal regression with dependent heavy-tailed data," Post-Print hal-04554050, HAL.
- Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2023. "Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles," TSE Working Papers 23-1444, Toulouse School of Economics (TSE), revised Nov 2023.
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