• Corpus ID: 248572336

Hypothesis testing for varying coefficient models in tail index regression

@inproceedings{Momoki2022HypothesisTF,
  title={Hypothesis testing for varying coefficient models in tail index regression},
  author={Koki Momoki and Takuma Yoshida},
  year={2022}
}
This study examines the varying coefficient model in tail index regression. The varying coefficient model is an efficient semiparametric model that avoids the curse of dimensionality when including large covariates in the model. In fact, the varying coefficient model is useful in mean, quantile, and other regressions. The tail index regression is not an exception. However, the varying coefficient model is flexible, but leaner and simpler models are preferred for applications. Therefore, it is important to… 
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