Functional kernel estimators of large conditional quantiles

DOI10.1214/12-EJS727zbMath1295.62052arXiv1107.2261MaRDI QIDQ1950877

Stéphane Girard, Laurent Gardes

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.2261

zbMATH Keywords

heavy-tailed distributionsextreme-value theoryconditional quantilesfunctional kernel estimator

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items (21)

Estimation for Extreme Conditional Quantiles of Functional Quantile Regression ⋮ Estimation of high conditional quantiles using the Hill estimator of the tail index ⋮ Functional kernel estimation of the conditional extreme value index under random right censoring ⋮ Nonparametric estimation of extreme conditional quantiles with functional covariate ⋮ Extreme value estimation of the conditional risk premium in reinsurance ⋮ Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions ⋮ A moment estimator for the conditional extreme-value index ⋮ Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions ⋮ Nonparametric modelling for functional data: selected survey and tracks for future ⋮ Efficient estimation of partially linear tail index models using B‐splines ⋮ Extreme geometric quantiles in a multivariate regular variation framework ⋮ Nonparametric estimation of the conditional extreme-value index with random covariates and censoring ⋮ Estimating the conditional extreme-value index under random right-censoring ⋮ Tail index partition-based rules extraction with application to tornado damage insurance ⋮ A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes ⋮ Tail dimension reduction for extreme quantile estimation ⋮ On the Strong Consistency of the Kernel Estimator of Extreme Conditional Quantiles ⋮ A nonparametric estimator for the conditional tail index of Pareto-type distributions ⋮ Nonparametric estimation of the conditional tail copula ⋮ Tail index varying coefficient model ⋮ Extreme partial least-squares

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