Summary
In this study we propose a method for fitting extreme percentile regression based on the r extremes corresponding to each value of a scalar covariate. The estimation is performed by maximum penalized likelihood, exploiting results from extreme value theory. Confidence bands for the true conditional percentile are constructed using a bootstrap algorithm.
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© 1996 Physica-Verlag Heidelberg
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Rosen, O., Cohen, A. (1996). Extreme Percentile Regression. In: Härdle, W., Schimek, M.G. (eds) Statistical Theory and Computational Aspects of Smoothing. Contributions to Statistics. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-48425-4_15
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DOI: https://doi.org/10.1007/978-3-642-48425-4_15
Publisher Name: Physica-Verlag HD
Print ISBN: 978-3-7908-0930-5
Online ISBN: 978-3-642-48425-4
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