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: | Mei Ling Huang, Christine Nguyen |
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Format: | Article |
Language: | English |
Published: |
SpringerOpen
2017-05-01
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Series: | Journal of Statistical Distributions and Applications |
Subjects: | |
Online Access: | http://link.springer.com/article/10.1186/s40488-017-0058-3 |
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