Functional kernel estimators of large conditional quantiles

Laurent Gardes 1 Stephane Girard 2
2 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, INPG - Institut National Polytechnique de Grenoble
Abstract : We address the estimation of conditional quantiles when the covariate is functional and when the order of the quantiles converges to one as the sample size increases. In a first time, we investigate to what extent these large conditional quantiles can still be estimated through a functional kernel estimator of the conditional survival function. Sufficient conditions on the rate of convergence of their order to one are provided to obtain asymptotically Gaussian distributed estimators. In a second time, basing on these result, a functional Weissman estimator is derived, permitting to estimate large conditional quantiles of arbitrary large order. These results are illustrated on finite sample situations.
Type de document :
Article dans une revue
Electronic journal of statistics , Shaker Heights, OH : Institute of Mathematical Statistics, 2012, 6, pp.1715-1744. 〈10.1214/12-EJS727〉
Liste complète des métadonnées

Littérature citée [43 références]  Voir  Masquer  Télécharger

https://hal.archives-ouvertes.fr/hal-00608192
Contributeur : Laurent Gardes <>
Soumis le : jeudi 25 avril 2013 - 11:58:54
Dernière modification le : samedi 18 novembre 2017 - 01:09:53
Document(s) archivé(s) le : vendredi 26 juillet 2013 - 04:02:04

Fichiers

qdafonclis6.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

Collections

Citation

Laurent Gardes, Stephane Girard. Functional kernel estimators of large conditional quantiles. Electronic journal of statistics , Shaker Heights, OH : Institute of Mathematical Statistics, 2012, 6, pp.1715-1744. 〈10.1214/12-EJS727〉. 〈hal-00608192v4〉

Partager

Métriques

Consultations de la notice

471

Téléchargements de fichiers

206