Skip to Main content Skip to Navigation
Journal articles

Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models

Abstract : Expectiles define a least squares analogue of quantiles. They have been the focus of a substantial quantity of research in the context of actuarial and financial risk assessment over the last decade. The behaviour and estimation of unconditional extreme expectiles using independent and identically distributed heavy-tailed observations has been investigated in a recent series of papers. We build here a general theory for the estimation of extreme conditional expectiles in heteroscedastic regression models with heavy-tailed noise; our approach is supported by general results of independent interest on residual-based extreme value estimators in heavy-tailed regression models, and is intended to cope with covariates having a large but fixed dimension. We demonstrate how our results can be applied to a wide class of important examples, among which linear models, single-index models as well as ARMA and GARCH time series models. Our estimators are showcased on a numerical simulation study and on real sets of actuarial and financial data.
Document type :
Journal articles
Complete list of metadata

https://hal.inria.fr/hal-02531027
Contributor : Stephane Girard <>
Submitted on : Thursday, April 22, 2021 - 3:23:39 PM
Last modification on : Thursday, May 6, 2021 - 5:16:58 PM

File

main_revised_HAL.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-02531027, version 3

Citation

Stéphane Girard, Gilles Stupfler, Antoine Usseglio-Carleve. Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models. Annals of Statistics, Institute of Mathematical Statistics, In press. ⟨hal-02531027v3⟩

Share

Metrics

Record views

61

Files downloads

172