Article, Early Access, 2024

Extremal Random Forests

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, ISSN 0162-1459, 10.1080/01621459.2023.2300522

Contributors

Gnecco, Nicola 0000-0002-0044-5208 (Corresponding author) [1] [2] Terefe, Edossa Merga [2] [3] Engelke, Sebastian 0000-0001-6356-918X [2]

Affiliations

  1. [1] Univ Copenhagen, Dept Math Sci, Copenhagen, Denmark
  2. [NORA names: KU University of Copenhagen; University; Denmark; Europe, EU; Nordic; OECD];
  3. [2] Univ Geneva, Res Ctr Stat, Geneva, Switzerland
  4. [NORA names: Switzerland; Europe, Non-EU; OECD];
  5. [3] Hawassa Univ, Stat Dept, Awasa, Ethiopia
  6. [NORA names: Ethiopia; Africa]

Abstract

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Keywords

Extreme quantiles, Local likelihood estimation, Quantile regression, Random forests, Threshold exceedances

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