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Author Ahmad, Aboubacrène Ag ♦ Deme, El Hadji ♦ Diop, Aliou ♦ Girard, Stephane
Source Hyper Articles en Ligne (HAL)
Content type Text
File Format PDF
Language English
Subject Keyword conditional quantile ♦ extreme-values ♦ tail-index ♦ Nonparametric estimation ♦ location-scale function ♦ math ♦ Mathematics [math]/Statistics [math.ST]
Abstract We introduce a location-scale model for conditional heavy-tailed distributions when the covariate is deterministic. First, nonparametric estimators of the location and scale functions are introduced. Second, an estimator of the conditional extreme-value index is derived. The asymptotic properties of the estimators are established under mild assumptions and their finite sample properties are illustrated on simulated data.
Educational Use Research
Learning Resource Type Article