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
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Aboubacrène Ag Ahmad, El Hadji Deme, Aliou Diop, Stephane Girard. Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions. Dependence Modeling, De Gruyter, In press, pp.1-34. ⟨hal-02132976v2⟩

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