Test of tails based on extreme regression quantiles
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
Volume (Year): 49 (2000)
Issue (Month): 1 (August)
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References listed on IDEAS
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- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- 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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