Article ID Journal Published Year Pages File Type
1145209 Journal of Multivariate Analysis 2016 17 Pages PDF
Abstract

We present a nonparametric family of estimators for the tail index of a Weibull tail-distribution when functional covariate is available. Our estimators are based on a kernel estimator of extreme conditional quantiles. Asymptotic normality of the estimators is proved under mild regularity conditions. Their finite sample performances are illustrated both on simulated and real data.

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
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