Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles

doi:10.1016/j.spl.2016.01.024

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	Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles
	He, Fengyang 1; Cheng, Yebin 2; Tong, Tiejun 3
刊名	STATISTICS & PROBABILITY LETTERS
	2016-06
卷号	113 页码:30-37
关键词	Extreme conditional quantile Intermediate regression quantile Extreme value
ISSN号	0167-7152
DOI	10.1016/j.spl.2016.01.024
英文摘要	The paper proposes a new estimation method for the extreme conditional quantiles through an extrapolation of the intermediate regression quantiles for the linear quantile regression model, and obtains the asymptotic properties of the proposed estimator in the general framework. (C) 2016 Elsevier B.V. All rights reserved.
WOS研究方向	Mathematics
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000374808900005
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1285]
专题	上海财经大学
通讯作者	Cheng, Yebin
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China; 2.Donghua Univ, Glorious Sun Sch Business & Management, Shanghai, Peoples R China; 3.Hong Kong Baptist Univ, Dept Math, Hong Kong, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	He, Fengyang,Cheng, Yebin,Tong, Tiejun. Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles[J]. STATISTICS & PROBABILITY LETTERS,2016,113:30-37.
APA	He, Fengyang,Cheng, Yebin,&Tong, Tiejun.(2016).Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles.STATISTICS & PROBABILITY LETTERS,113,30-37.
MLA	He, Fengyang,et al."Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles".STATISTICS & PROBABILITY LETTERS 113(2016):30-37.