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Journal of the American Statistical Association Volume 104, 2009 - Issue 487
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Theory and Methods

Tail Index Regression

Hansheng Wang Hansheng Wang is an Associate Professor of Statistics at Guanghua School of Management, Peking University, Beijing 100871, P. R. China . Chih-Ling Tsai is the Robert W. Glock Chair Professor in Management at Graduate School of Management, University of California, Davis, CA 95616-8609 . The authors are very grateful to the Editor, the AE, and one anonymous referee for constructive comments and valuable suggestions, which lead to a substantially improved manuscript. Wang’s research is supported in part by a NSFC grant (No. 10771006).
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Chih-Ling Tsai Hansheng Wang is an Associate Professor of Statistics at Guanghua School of Management, Peking University, Beijing 100871, P. R. China . Chih-Ling Tsai is the Robert W. Glock Chair Professor in Management at Graduate School of Management, University of California, Davis, CA 95616-8609 . The authors are very grateful to the Editor, the AE, and one anonymous referee for constructive comments and valuable suggestions, which lead to a substantially improved manuscript. Wang’s research is supported in part by a NSFC grant (No. 10771006).
Pages 1233-1240 | Received 01 Aug 2008, Published online: 01 Jan 2012

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Yuya Sasaki & Yulong Wang. (2022) Fixed-k Inference for Conditional Extremal Quantiles. Journal of Business & Economic Statistics 40:2, pages 829-837.
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Huixia Judy Wang & Deyuan Li. (2013) Estimation of Extreme Conditional Quantiles Through Power Transformation. Journal of the American Statistical Association 108:503, pages 1062-1074.
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Yuri Goegebeur & Tertius De Wet. (2012) Local Estimation of the Second-Order Parameter in Extreme Value Statistics and Local Unbiased Estimation of the Tail Index. Communications in Statistics - Theory and Methods 41:19, pages 3575-3607.
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Arthur Maillart & Christian Y. Robert. (2023) Tail index partition-based rules extraction with application to tornado damage insurance. ASTIN Bulletin, pages 1-27.
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M. de Carvalho, S. Pereira, P. Pereira & P. de Zea Bermudez. (2021) An Extreme Value Bayesian Lasso for the Conditional Left and Right Tails. Journal of Agricultural, Biological and Environmental Statistics 27:2, pages 222-239.
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L. Mhalla, M. Carvalho & V. Chavez‐Demoulin. (2019) Regression‐type models for extremal dependence. Scandinavian Journal of Statistics 46:4, pages 1141-1167.
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Yuri Goegebeur, Armelle Guillou & Jing Qin. (2019) Bias-corrected estimation for conditional Pareto-type distributions with random right censoring. Extremes 22:3, pages 459-498.
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Yaolan Ma, Yuexiang Jiang & Wei Huang. (2018) Empirical likelihood based inference for conditional Pareto-type tail index. Statistics & Probability Letters 134, pages 114-121.
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Laurent Gardes. (2017) Tail dimension reduction for extreme quantile estimation. Extremes 21:1, pages 57-95.
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Paul Kinsvater & Roland Fried. (2016) Conditional heavy-tail behavior with applications to precipitation and river flow extremes. Stochastic Environmental Research and Risk Assessment 31:5, pages 1155-1169.
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Tertius de Wet, Yuri Goegebeur, Armelle Guillou & Michael Osmann. (2015) Kernel regression with Weibull-type tails. Annals of the Institute of Statistical Mathematics 68:5, pages 1135-1162.
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Gilles Stupfler. (2016) Estimating the conditional extreme-value index under random right-censoring. Journal of Multivariate Analysis 144, pages 1-24.
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Laurent Gardes. (2015) A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes. Extremes 18:3, pages 479-510.
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Yuri Goegebeur, Armelle Guillou & Gilles Stupfler. (2015) Uniform asymptotic properties of a nonparametric regression estimator of conditional tails. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 51:3.
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Luke B. SmithBrian J. ReichAmy H. HerringPeter H. LangloisMontserrat Fuentes. (2015) Multilevel quantile function modeling with application to birth outcomes. Biometrics 71:2, pages 508-519.
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Yuri Goegebeur, Armelle Guillou & Théo Rietsch. (2014) Robust conditional Weibull-type estimation. Annals of the Institute of Statistical Mathematics 67:3, pages 479-514.
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Jonathan El Methni, Laurent Gardes & Stéphane Girard. (2014) Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions. Scandinavian Journal of Statistics 41:4, pages 988-1012.
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Enrico Biffis & Erik Chavez. (2014) Tail Risk in Commercial Property Insurance. Risks 2:4, pages 393-410.
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Goedele Dierckx, Yuri Goegebeur & Armelle Guillou. (2014) Local robust and asymptotically unbiased estimation of conditional Pareto-type tails. TEST 23:2, pages 330-355.
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Laurent Gardes & Gilles Stupfler. (2013) Estimation of the conditional tail index using a smoothed local Hill estimator. Extremes 17:1, pages 45-75.
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Qingzhao Zhang, Deyuan Li & Hansheng Wang. (2013) A note on tail dependence regression. Journal of Multivariate Analysis 120, pages 163-172.
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Gilles Stupfler. (2013) A moment estimator for the conditional extreme-value index. Electronic Journal of Statistics 7:none.
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John H. J. Einmahl, Fan Yang & Chen Zhou. (2018) Testing the Multivariate Regular Variation Model. SSRN Electronic Journal.
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Enrico Biffis & Erik Chavez. (2014) Tail Risk in Commercial Property Insurance. SSRN Electronic Journal.
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