3 papers
math.ST2024
Smoothing the Conditional Value-at-Risk based Pickands Estimators
Yizhou Li, Pawel Polak
We incorporate the conditional value-at-risk (CVaR) quantity into a generalized class of Pickands estimators. By introducing CVaR, the newly developed estimators not only retain th…
math.ST2024
Asymptotic Normality of the Conditional Value-at-Risk based Pickands Estimator
Yizhou Li, Pawel Polak
The Pickands estimator for the extreme value index is beneficial due to its universal consistency, location, and scale invariance, which sets it apart from other types of estimator…
stat.ME2023
Mixture Quantiles Estimated by Constrained Linear Regression
Cheng Peng, Yizhou Li, Stan Uryasev
We study the problem of modeling univariate distributions via their quantile functions. We introduce a flexible family of distributions whose quantile function is a linear combinat…