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

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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Submitted on : Friday, November 15, 2019 - 10:34:02 AM
Last modification on : Friday, July 3, 2020 - 4:49:10 PM

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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, De Gruyter, 2019, 7, pp.394--417. ⟨10.1515/demo-2019-0021⟩. ⟨hal-02132976v2⟩

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