Uniform asymptotic properties of a nonparametric regression estimator of conditional tails

Yuri Goegebeur; Armelle Guillou; Gilles Stupfler

doi:10.1214/14-AIHP624

Uniform asymptotic properties of a nonparametric regression estimator of conditional tails

Yuri Goegebeur, Armelle Guillou, Gilles Stupfler

Institut for Matematik og Datalogi

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

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Abstract

We consider a nonparametric regression estimator of conditional tails introduced by Goegebeur, Y., Guillou, A., Schorgen, G. (2013). Nonparametric regression estimation of conditional tails-the random covariate case. It is shown that this estimator is uniformly strongly consistent on compact sets and its rate of convergence is given.

Originalsprog	Engelsk
Tidsskrift	Annales de l'Institut Henri Poincaré, Probabilités et Statistiques
Vol/bind	51
Udgave nummer	3
Sider (fra-til)	1190-1213
ISSN	0246-0203
DOI	https://doi.org/10.1214/14-AIHP624
Status	Udgivet - 1. aug. 2015

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10.1214/14-AIHP624

Uniform asymptotic properties of a nonparametric regression estimator of conditional tailsForlagets udgivne version, 288 KB

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AU - Stupfler, Gilles

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KW - Strong uniform consistency

KW - Tail-index

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DO - 10.1214/14-AIHP624

M3 - Journal article

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Uniform asymptotic properties of a nonparametric regression estimator of conditional tails

Abstract

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