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Some nonparametric estimators of the conditional tail index

Laurent Gardes 1 Stephane Girard 1
1 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology, LJK - Laboratoire Jean Kuntzmann, Inria Grenoble - Rhône-Alpes
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https://hal.inria.fr/hal-00847589
Contributor : Brigitte Bidégaray-Fesquet <>
Submitted on : Tuesday, July 23, 2013 - 11:22:11 PM
Last modification on : Tuesday, February 9, 2021 - 3:20:20 PM

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  • HAL Id : hal-00847589, version 1

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Laurent Gardes, Stephane Girard. Some nonparametric estimators of the conditional tail index. 5th Conference on Extreme Value Analysis, EVA 2007, Jul 2007, Berne, Switzerland. ⟨hal-00847589⟩

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