Extremile Regression
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DOI: 10.1080/01621459.2021.1875837
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- Daouia, Abdelaati & Gijbels, Irene & Stupfler, Gilles, 2021. "Extremile Regression," TSE Working Papers 21-1176, Toulouse School of Economics (TSE).
- Abdelaati Daouia & Irene Gijbels & Gilles Stupfler, 2021. "Extremile regression," Post-Print hal-03181017, HAL.
References listed on IDEAS
- Li, Qi & Racine, Jeffrey S, 2008. "Nonparametric Estimation of Conditional CDF and Quantile Functions With Mixed Categorical and Continuous Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 423-434.
- Abdelaati Daouia & Irène Gijbels & Gilles Stupfler, 2019. "Extremiles: A New Perspective on Asymmetric Least Squares," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(527), pages 1366-1381, July.
- Abdelaati Daouia & Laurent Gardes & Stéphane Girard & Alexandre Lekina, 2011. "Kernel estimators of extreme level curves," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 311-333, August.
- Stéphane Girard & Gilles Stupfler & Antoine Usseglio‐Carleve, 2022. "Nonparametric extreme conditional expectile estimation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 78-115, March.
- Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "Tail expectile process and risk assessment," TSE Working Papers 18-944, Toulouse School of Economics (TSE).
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Cited by:
- 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.
- Christis Katsouris, 2023. "Quantile Time Series Regression Models Revisited," Papers 2308.06617, arXiv.org, revised Aug 2023.
- Christis Katsouris, 2024. "Robust Estimation in Network Vector Autoregression with Nonstationary Regressors," Papers 2401.04050, arXiv.org.
- Genest Christian & Scherer Matthias, 2023. "When copulas and smoothing met: An interview with Irène Gijbels," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-16, January.
- Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2022. "A risk measurement approach from risk-averse stochastic optimization of score functions," Papers 2208.14809, arXiv.org, revised May 2023.
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