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Single-index models for extreme value index regression
Since the extreme value index (EVI) controls the tail behaviour of the distribution function, the estimation of EVI is a very important topic in extreme value theory. Recent developments in the estimation of EVI along with covariates have been in the context of nonparametric regression. However, for the large dimension of covariates, the fully nonparametric estimator faces the problem of the curse of dimensionality. To avoid this, we apply the single index model to EVI regression underdoi:10.21203/rs.3.rs-2188953/v1 fatcat:aswnw5z455d3bliykvfr6qr364