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Estimation of extreme quantiles from heavy-tailed distributions in a location-dispersion regression model
Abstract : We consider a location-dispersion regression model for heavy-tailed distributions when the multidimensional covariate is deterministic. In a first step, nonparametric estimators of the regression and dispersion functions are introduced. This permits, in a second step, to derive an estimator of the conditional extreme-value index computed on the residuals. Finally, a plug-in estimator of extreme conditional quantiles is built using these two preliminary steps. It is shown that the resulting semi-parametric estimator is asymptotically Gaussian and may benefit from the same rate of convergence as in the unconditional situation. Its finite sample properties are illustrated both on simulated and real tsunami data.
Cited literature [40 references]
https://hal.inria.fr/hal-02486937
Contributor : Stephane Girard Connect in order to contact the contributor
Submitted on : Wednesday, September 16, 2020 - 9:14:09 AM
Last modification on : Friday, February 4, 2022 - 3:30:44 AM
Contributor : Stephane Girard Connect in order to contact the contributor
Submitted on : Wednesday, September 16, 2020 - 9:14:09 AM
Last modification on : Friday, February 4, 2022 - 3:30:44 AM
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