Extreme quantile estimation for autoregressive models
Year of publication: |
2019
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Authors: | Li, Deyuan ; Wang, Huixia |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 37.2019, 4, p. 661-670
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Subject: | Extreme value theory | High quantile | Moment estimation | Quantile autoregression | Second-order condition | Schätztheorie | Estimation theory | Autokorrelation | Autocorrelation | Risikomaß | Risk measure | Ausreißer | Outliers | Schätzung | Estimation | Regressionsanalyse | Regression analysis |
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