Nonparametric extreme conditional expectile estimation

Stéphane Girard 1 Gilles Stupfler 2 Antoine Usseglio-Carleve 1
1 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, INPG - Institut National Polytechnique de Grenoble
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Stéphane Girard, Gilles Stupfler, Antoine Usseglio-Carleve. Nonparametric extreme conditional expectile estimation. EVA 2019 - 11th International Conference on Extreme Value Analysis, Jul 2019, Zagreb, Croatia. ⟨hal-02186705⟩

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