A Location-Invariant Estimator of Extremal Quantile Treatment Effects for Heavy-Tailed Distributions
Quantile treatment effects (QTEs) measure the effect of a treatment on the distribution of an outcome, and their estimation at extreme quantile levels is of central interest in applications where the target quantiles lie far beyond the range of the data. For heavy-tailed potential outcomes, existing extremal QTE estima...
Xin Yu, Shu-Wei Huang, Ji-Cheng Liu et al.
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