Wang, Huixia Judy; Li, Deyuan; He, Xuming - In: Journal of the American Statistical Association 107 (2012) 500, pp. 1453-1464
Estimation of conditional quantiles at very high or low tails is of interest in numerous applications. Quantile regression provides a convenient and natural way of quantifying the impact of covariates at different quantiles of a response distribution. However, high tails are often associated...