Estimation and Inference of Extremal Quantile Treatment Effects for Heavy-Tailed Distributions
重尾分布下极端分位数处理效应的估计与推断
Causal inference for extreme events has many potential applications in fields such as climate science, medicine and economics. We study the extremal quantile treatment effect of a binary treatment on a continuous, heavy-tailed outcome. Existing methods are limited to the case where the quantile of interest is within the range of the observations. For applications in risk assessment, however, the most relevant cases relate to extremal quantiles that go beyond the data range.…