94 citations · 147 across the 5 of their papers we have counts for
5 papers
Extreme expectile estimation for short-tailed data, with an application to market risk assessment
Abdelaati Daouia, Simone A. Padoan, Gilles Stupfler
The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicit…
Optimal pooling and distributed inference for the tail index and extreme quantiles
Abdelaati Daouia, Simone A. Padoan, Gilles Stupfler
This paper investigates pooling strategies for tail index and extreme quantile estimation from heavy-tailed data. To fully exploit the information contained in several samples, we…
From Halfspace M-depth to Multiple-output Expectile Regression
Abdelaati Daouia, Davy Paindaveine
Despite the renewed interest in the Newey and Powell (1987) concept of expectiles in fields such as econometrics, risk management, and extreme value theory, expectile regression---…
On kernel smoothing for extremal quantile regression
Abdelaati Daouia, Laurent Gardes, Stéphane Girard
Nonparametric regression quantiles obtained by inverting a kernel estimator of the conditional distribution of the response are long established in statistics. Attention has been,…
Frontier estimation and extreme value theory
Abdelaati Daouia, Jean-Pierre Florens, Léopold Simar
In this paper, we investigate the problem of nonparametric monotone frontier estimation from the perspective of extreme value theory. This enables us to revisit the asymptotic theo…