Estimation of the conditional tail index using a smoothed local Hill estimator

DOI10.1007/s10687-013-0174-5zbMath1302.62076OpenAlexW2052984113MaRDI QIDQ483516

Laurent Gardes, Gilles Stupfler

Publication date: 17 December 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-013-0174-5

zbMATH Keywords

heavy-tailed distributionuniform consistencyrandom covariatepointwise asymptotic normality

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items (22)

Kernel regression with Weibull-type tails ⋮ A moment estimator for the conditional extreme-value index ⋮ Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions ⋮ Efficient estimation of partially linear tail index models using B‐splines ⋮ Estimation of extreme quantiles from heavy-tailed distributions with neural networks ⋮ Dynamic tail inference with log-Laplace volatility ⋮ 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 local moment type estimator for an extreme quantile in regression with random covariates ⋮ Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization ⋮ Estimation of extreme quantiles from heavy-tailed distributions in a location-dispersion regression model ⋮ The dynamic power law model ⋮ Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles ⋮ A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes ⋮ Uniform asymptotic properties of a nonparametric regression estimator of conditional tails ⋮ On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails ⋮ Nonparametric confidence intervals for conditional quantiles with large-dimensional covariates ⋮ A nonparametric estimator for the conditional tail index of Pareto-type distributions ⋮ Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models ⋮ Tail index varying coefficient model ⋮ Robust conditional Weibull-type estimation

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