Functional estimation of extreme conditional expectiles - Girard, Stéphane; Stupfler, Gilles; Usseglio-Carleve, Antoine (Econometrics and statistics, 2022)
Keywords: Conditional tail index; Expectiles; Extrapolation; Extremes; Functional kernel estimator; Heavy tails; Mathematics; Nonparametric estimation; Statistics; Extrapolation; Extremes; Expectiles; Functional kernel estimator; Heavy tails; Nonparametric estimation; Conditional tail index; expectiles; extrapolation; heavy tails; functional kernel estimator; nonparametric estimation; extremes