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

Fengyang He, Yebin Cheng and Tiejun Tong

Statistics & Probability Letters, 2016, vol. 113, issue C, 30-37

Abstract: 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.

Keywords: Extreme conditional quantile; Intermediate regression quantile; Extreme value (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2016.01.024

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