Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
Yu Chen, Mengyuan Ma, Hongfang Sun
| Year of publication: |
2023
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|---|---|
| Authors: | Chen, Yu ; Ma, Mengyuan ; Sun, Hongfang |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 111.2023, p. 142-162
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| Subject: | Conditional extremiles | Extreme value theory | Heavy-tailed distribution | Heteroscedastic regression | Inference | Regressionsanalyse | Regression analysis | Induktive Statistik | Statistical inference | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Heteroskedastizität | Heteroscedasticity | ARCH-Modell | ARCH model | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2023.04.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014317142