High-dimensional Extreme Quantile Regression

The estimation of conditional quantiles at extreme tails is of great interest in numerous applications.Various methods that integrate regression analysis with an extrapolation strategy derived from extreme value theory have been proposed to estimate extreme conditional quantiles in scenarios with a fixed number of covariates.However, these methods become less effective in high-dimensional settings, where the number of covariates grows with the sample size.In this article, we develop new estimati