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Semiparametric tail index regression
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Li, Rui, Leng, Chenlei and You, Jinhon (2022) Semiparametric tail index regression. Journal of Business and Economic Statistics, 40 (1). pp. 82-95. doi:10.1080/07350015.2020.1775616 ISSN 0735-0015.
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WRAP-Semiparametric-tail-index-regression-Leng-2020.pdf - Accepted Version - Requires a PDF viewer. Download (521Kb) | Preview |
Official URL: https://doi.org/10.1080/07350015.2020.1775616
Abstract
Understanding why extreme events occur is often of major scientific interest in many fields. The occurrence of these events naturally depends on explanatory variables, but there is a severe lack of flexible models with asymptotic theory for understanding this dependence, especially when variables can affect the outcome nonlinearly. This article proposes a novel semiparametric tail index regression model to fill the gap for this purpose. We construct consistent estimators for both parametric and nonparametric components of the model, establish the corresponding asymptotic normality properties for these components that can be applied for further inference, and illustrate the usefulness of the model via extensive Monte Carlo simulation and the analysis of return on equity data and Alps meteorology data.
Item Type: | Journal Article | ||||||||||||||||||
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Subjects: | Q Science > QA Mathematics | ||||||||||||||||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||||||||||||||||
Library of Congress Subject Headings (LCSH): | Asymptotic efficiencies (Statistics), Regression analysis | ||||||||||||||||||
Journal or Publication Title: | Journal of Business and Economic Statistics | ||||||||||||||||||
Publisher: | Americal Statistical Association | ||||||||||||||||||
ISSN: | 0735-0015 | ||||||||||||||||||
Official Date: | January 2022 | ||||||||||||||||||
Dates: |
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Volume: | 40 | ||||||||||||||||||
Number: | 1 | ||||||||||||||||||
Page Range: | pp. 82-95 | ||||||||||||||||||
DOI: | 10.1080/07350015.2020.1775616 | ||||||||||||||||||
Status: | Peer Reviewed | ||||||||||||||||||
Publication Status: | Published | ||||||||||||||||||
Reuse Statement (publisher, data, author rights): | โThis is an Accepted Manuscript of an article published by Taylor & Francis in Journal of Business and Economic Statistics on 01/07/2020, available online : http://www.tandfonline.com/10.1080/07350015.2020.1775616 | ||||||||||||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||||||||||||
Date of first compliant deposit: | 29 May 2020 | ||||||||||||||||||
Date of first compliant Open Access: | 1 July 2021 | ||||||||||||||||||
RIOXX Funder/Project Grant: |
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