Abstract : This paper deals with the estimation of an extreme value index of a heavy-tailed distribution in the presence of covariates. A class of estimators is proposed in this context and its asymptotic normality established under mild regularity conditions. These estimators are functions of a kernel conditional quantile estimator depending on some tuning parameters. The finite sample properties of our estimators are illustrated on a small simulation study.
Contributor : Laurent Gardes <>
Submitted on : Monday, March 21, 2011 - 9:46:03 AM
Last modification on : Tuesday, February 28, 2017 - 1:04:18 AM
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Laurent Gardes, Armelle Guillou, Antoine Schorgen. Estimating the conditional tail index by integrating a kernel conditional quantile estimator. Journal of Statistical Planning and Inference, Elsevier, 2012, 142 (6), pp.1586-1598. <10.1016/j.jspi.2012.01.011>. <inria-00578479>