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Journal Articles Dependence Modeling Year : 2019

Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions

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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 both on simulated and real data.
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Dates and versions

hal-02132976 , version 1 (17-05-2019)
hal-02132976 , version 2 (15-11-2019)

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Aboubacrène Ag Ahmad, El Hadji Deme, Aliou Diop, Stéphane Girard. Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions. Dependence Modeling, 2019, 7 (1), pp.394--417. ⟨10.1515/demo-2019-0021⟩. ⟨hal-02132976v2⟩
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