Time-Varying High Quantile Estimation for Nonstationary Tail Dependent Time Series
非平稳尾部依赖时间序列的时变高分位数估计
We consider the problem of time-varying high quantile estimation for a general class of nonstationary tail dependent time series. Unlike the conventional quantile analysis in which the quantile level is typically assumed to be fixed, the current high quantile setting requires the quantile level to grow with the sample size to capture the tail phenomenon. In addition, for nonstationary time series data, the underlying data generating mechanism is expected to change over time,…