Estimating the conditional tail index by integrating a kernel conditional quantile estimator
Résumé
This paper deals with the estimation of an extreme value index of a heavy-tailed distribution in the presence of covariates. A class of estimators is proposed in this context and its asymptotic normality established under mild regularity conditions. These estimators are functions of a kernel conditional quantile estimator depending on some tuning parameters. The finite sample properties of our estimators are illustrated on a small simulation study.
Domaines
Applications [stat.AP]
Origine : Fichiers produits par l'(les) auteur(s)
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