ABSTRACT
Abstract The estimation of extreme quantiles of the response distribution is of great interest in many areas. Extreme value theory provides a useful tool for estimating extreme quantiles. However, current extreme value literature focuses primarily on the extreme quantiles of a univariate variable. In this chapter, we provide a survey of available methods, including parametric, nonparametric, semiparametric, and quantileregression-based approaches, for estimating the extreme conditional quantiles of the quantity of interest when some covariates are recorded simultaneously. A simulation study is carried out to assess the performance of various methods.
