Title: Estimators of the extreme value index based on quantile regression
Abstract:In the contribution we discuss an estimation of the extreme value index in the case of linear regression model. We propose estimators based on the extreme regression quantiles slightly expanding older...In the contribution we discuss an estimation of the extreme value index in the case of linear regression model. We propose estimators based on the extreme regression quantiles slightly expanding older results of Chernozhukov (2005). Our aim is to describe a general class of estimators of the extreme value index based on regression quantiles. We show consistency and asymptotic normality of estimators belonging to this class using methodological tools based on Drees (1998) and Gutenbrunner et al. (1993). Various conditions and their necessity are discussed. We demonstrate a performance of proposed estimators on a small simulation study.Read More
Publication Year: 2007
Publication Date: 2007-01-01
Language: en
Type: article
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Cited By Count: 2
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