Functional estimation of extreme conditional expectiles

• Published in: Econometrics and statistics Vol. 21; pp. 131 - 158
• Main Authors: Girard, Stéphane, Stupfler, Gilles, Usseglio-Carleve, Antoine
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.01.2022; Elsevier
• Subjects: 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

Quantiles and expectiles can be interpreted as solutions of convex minimization problems. Unlike quantiles, expectiles are determined by tail expectations rather than tail probabilities, and define a coherent risk measure. For these reasons, among others, they have recently been the subject of renew...