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Keyword: extreme value theory;
2 results found.
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Daisuke Kurisu and Taisuke Otsu
This paper studies asymptotic properties of the local linear quantile estimator under the extremal order quantile asymptotics, and develops a practical inference method for conditional quantiles in extreme tail areas. By...Read more...
14 September 2021
Sokbae Lee, Oliver Linton and Yoon-Jae Whang
We propose a test of the hypothesis of stochastic monotonicity. This hypothesis is of interest in many applications. Our test is based on the supremum of a rescaled U-statistic. We show that its asymptotic distribution i...Read more...