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Test of tails based on extreme regression quantiles

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  • Jurecková, Jana

Abstract

The 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

Suggested Citation

  • Jurecková, Jana, 2000. "Test of tails based on extreme regression quantiles," Statistics & Probability Letters, Elsevier, vol. 49(1), pages 53-61, August.
  • Handle: RePEc:eee:stapro:v:49:y:2000:i:1:p:53-61
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    References listed on IDEAS

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    1. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    2. He, Xuming, et al, 1990. "Tail Behavior of Regression Estimators and Their Breakdown Points," Econometrica, Econometric Society, vol. 58(5), pages 1195-1214, September.
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    Cited by:

    1. Zuo, Yijun, 2003. "Finite sample tail behavior of multivariate location estimators," Journal of Multivariate Analysis, Elsevier, vol. 85(1), pages 91-105, April.

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