# 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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