IDEAS home Printed from https://ideas.repec.org/a/taf/lstaxx/v48y2019i2p235-256.html
   My bibliography  Save this article

Tail index varying coefficient model

Author

Listed:
  • Yaolan Ma
  • Yuexiang Jiang
  • Wei Huang

Abstract

This paper deals with a new class of tail index varying coefficient models with the random covariate under Pareto-type distributions. To estimate the unknown coefficient functions, we develop an estimation procedure via a local polynomial maximum likelihood techniques. The asymptotic normality of the estimated coefficient functions under some mild regularity conditions are established. Two numerical examples and one application are used to illustrate the performance of the proposed procedure.

Suggested Citation

  • Yaolan Ma & Yuexiang Jiang & Wei Huang, 2019. "Tail index varying coefficient model," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 48(2), pages 235-256, January.
    • Handle: RePEc:taf:lstaxx:v:48:y:2019:i:2:p:235-256
    DOI: 10.1080/03610926.2017.1406519
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03610926.2017.1406519
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03610926.2017.1406519?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Abduraimova, Kumushoy, 2022. "Contagion and tail risk in complex financial networks," Journal of Banking & Finance, Elsevier, vol. 143(C).
    2. João Nicolau & Pedro Raposo & Paulo M. M. Rodrigues, 2023. "Measuring wage inequality under right censoring," Economic Inquiry, Western Economic Association International, vol. 61(2), pages 377-401, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:lstaxx:v:48:y:2019:i:2:p:235-256. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/lsta .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.