Tail dimension reduction for extreme quantile estimation
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DOI: 10.1007/s10687-017-0300-x
Abstract: In a regression context where a response variable Y ∈ ℝ is recorded with a covariate X ∈ ℝp, two situations can occur simultaneously: (a) we are interested in the tail of the conditional distribution… read more here.
Keywords: dimension reduction; dimension; extreme quantile; tail dimension ... See more keywords