High quantile regression for extreme events
Abstract For extreme events, estimation of high conditional quantiles for heavy tailed distributions is an important problem. Quantile regression is a useful method in this field with many applications. Quantile regression uses an L 1-loss function, and an optimal solution by means of linear program...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2017-05-01
|
| Series: | Journal of Statistical Distributions and Applications |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s40488-017-0058-3 |