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  • 标题:Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
  • 本地全文:下载
  • 作者:Aboubacrène Ag Ahmad ; El Hadji Deme ; Aliou Diop
  • 期刊名称:Dependence Modeling
  • 电子版ISSN:2300-2298
  • 出版年度:2019
  • 卷号:7
  • 期号:1
  • 页码:394-417
  • DOI:10.1515/demo-2019-0021
  • 出版社:Walter de Gruyter GmbH
  • 摘要:We introduce a location-scale model for conditional heavy-tailed distributions when the covariate is deterministic. First, nonparametric estimators of the location and scale functions are introduced. Second, an estimator of the conditional extreme-value index is derived. The asymptotic properties of the estimators are established under mild assumptions and their finite sample properties are illustrated both on simulated and real data..
  • 关键词:Nonparametric estimation ; location;scale function ; tail;index ; extreme;values ; conditional quantile ; 62G05 ; 62G08 ; 62G32
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