Uniform asymptotic properties of a nonparametric regression estimator of conditional tails
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Publication:500814
DOI10.1214/14-AIHP624zbMath1326.62089OpenAlexW2613125939MaRDI QIDQ500814
Armelle Guillou, Yuri Goegebeur, Gilles Stupfler
Publication date: 5 October 2015
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aihp/1435759245
Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)
Related Items (8)
Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions ⋮ Estimating the conditional extreme-value index under random right-censoring ⋮ Tail index partition-based rules extraction with application to tornado damage insurance ⋮ Estimation of extreme quantiles from heavy-tailed distributions in a location-dispersion regression model ⋮ On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails ⋮ A nonparametric estimator for the conditional tail index of Pareto-type distributions ⋮ Tail index varying coefficient model ⋮ Robust conditional Weibull-type estimation
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