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- W4285809404 abstract "The conventional quantile estimator of the extreme conditional quantiles under quantile autoregression models is relatively unstable due to data sparsity in the tails. Extreme value theory provides a mathematical foundation of extrapolation to estimate extreme quantiles. However, the asymptotic distributions of existing estimators are often complicated making it inconvenient to apply for statistical inference. We develop a new adaptive estimation procedure based on a generalized Hill estimator of the extreme value index to estimate extreme conditional quantiles in autoregression models. We establish the asymptotic normality of the proposed estimators under some regularity conditions by applying the martingale central limit theorem. The asymptotic variances have closed expressions and can be directly estimated. Based on these results, we propose a procedure to construct confidence intervals for the extreme conditional quantiles. We also provide a diagnostic tool to check the heavy-tailedness of the distribution. Simulation studies and a real data analysis are carried out to demonstrate the advantages of the proposed methods over existing approaches." @default.
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- W4285809404 date "2022-12-01" @default.
- W4285809404 modified "2023-10-01" @default.
- W4285809404 title "Extremal quantile autoregression for heavy-tailed time series" @default.
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- W4285809404 doi "https://doi.org/10.1016/j.csda.2022.107563" @default.
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