Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145209 | Journal of Multivariate Analysis | 2016 | 17 Pages |
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
Authors
Laurent Gardes, Stéphane Girard,