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

Department of Mathematics and Computer Science

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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.

Original language	English
Journal	Annales de l'Institut Henri Poincaré, Probabilités et Statistiques
Volume	51
Issue number	3
Pages (from-to)	1190-1213
ISSN	0246-0203
DOIs	https://doi.org/10.1214/14-AIHP624
Publication status	Published - 1. Aug 2015

Keywords

Kernel estimation
Strong uniform consistency
Tail-index

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10.1214/14-AIHP624

Uniform asymptotic properties of a nonparametric regression estimator of conditional tailsFinal published version, 288 KB

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AU - Guillou, Armelle

AU - Stupfler, Gilles

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N2 - 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.

AB - 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.

KW - Kernel estimation

KW - Strong uniform consistency

KW - Tail-index

U2 - 10.1214/14-AIHP624

DO - 10.1214/14-AIHP624

M3 - Journal article

SN - 0246-0203

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JO - Annales de l'Institut Henri Poincaré, Probabilités et Statistiques

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Uniform asymptotic properties of a nonparametric regression estimator of conditional tails

Abstract

Keywords

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