Uniform asymptotic properties of a nonparametric regression estimator of conditional tails (Q500814): Difference between revisions

This paper studies a nonparametric regression estimator of conditional tails introduced by the first two authors and \textit{A. Schorgen} [Statistics 48, No. 4, 732--755 (2014; Zbl 1326.62088)]. The estimator is shown to be uniformly strongly consistent on compact sets in a semiparametric framework. Moreover its rate of convergence is given.

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zbMATH Keywords

tail-index

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kernel estimation

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strong uniform consistency

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reviewed by

Nicko G. Gamkrelidze

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MaRDI profile type

MaRDI publication profile

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cites work

NONPARAMETRIC FRONTIER ESTIMATION: A CONDITIONAL QUANTILE-BASED APPROACH

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Statistics of Extremes

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Q4726487

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Generalized Additive Modelling of Sample Extremes

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A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations

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On kernel smoothing for extremal quantile regression

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Kernel estimators of extreme level curves

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Robust nonparametric estimators of monotone boundaries

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Local Likelihood Smoothing of Sample Extremes

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The empirical process of some long-range dependent sequences with an application to U-statistics

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An empirical process approach to the uniform consistency of kernel-type function estimators

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A moving window approach for nonparametric estimation of the conditional tail index

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Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels

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Estimation of the conditional tail index using a smoothed local Hill estimator

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Uniform strong consistency of a frontier estimator using kernel regression on high order moments

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Nonparametric regression estimation of conditional tails: the random covariate case

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Q5485944

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Q3670359

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Strong uniform consistency rates for estimators of conditional functionals

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Optimal bandwidth selection in nonparametric regression function estimation

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A simple general approach to inference about the tail of a distribution

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Probability Inequalities for Sums of Bounded Random Variables

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Complete Convergence and the Law of Large Numbers

0 references

Asymptotic properties of a conditional quantile estimator with randomly truncated data

0 references

Weak and strong uniform consistency of kernel regression estimates

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Wiener chaos: Moments, cumulants and diagrams. A survey with computer implementation

0 references

On Estimation of a Probability Density Function and Mode

0 references

Remarks on Some Nonparametric Estimates of a Density Function

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Weak and strong uniform consistency of the kernel estimate of a density and its derivatives

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Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author

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A law of the logarithm for kernel density estimators

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Tail Index Regression

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Identifiers

zbMATH Open document ID

1326.62089

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DOI

10.1214/14-AIHP624

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:500814

@@ Property / reviewed by @@
+Nicko G. Gamkrelidze
@@ Property / reviewed by: Nicko G. Gamkrelidze / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+NONPARAMETRIC FRONTIER ESTIMATION: A CONDITIONAL QUANTILE-BASED  APPROACH
+Normal rank
@@ Property / cites work @@
+Statistics of Extremes
@@ Property / cites work: Statistics of Extremes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized Additive Modelling of Sample Extremes
@@ Property / cites work: Generalized Additive Modelling of Sample Extremes / rank @@
+Normal rank
@@ Property / cites work @@
+A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
+Normal rank
@@ Property / cites work @@
+On kernel smoothing for extremal quantile regression
+Normal rank
@@ Property / cites work @@
+Kernel estimators of extreme level curves
@@ Property / cites work: Kernel estimators of extreme level curves / rank @@
+Normal rank
@@ Property / cites work @@
+Robust nonparametric estimators of monotone boundaries
+Normal rank
@@ Property / cites work @@
+Local Likelihood Smoothing of Sample Extremes
@@ Property / cites work: Local Likelihood Smoothing of Sample Extremes / rank @@
+Normal rank
@@ Property / cites work @@
+The empirical process of some long-range dependent sequences with an application to U-statistics
+Normal rank
@@ Property / cites work @@
+An empirical process approach to the uniform consistency of kernel-type function estimators
+Normal rank
@@ Property / cites work @@
+A moving window approach for nonparametric estimation of the conditional tail index
+Normal rank
@@ Property / cites work @@
+Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
+Normal rank
@@ Property / cites work @@
+Estimation of the conditional tail index using a smoothed local Hill estimator
+Normal rank
@@ Property / cites work @@
+Uniform strong consistency of a frontier estimator using kernel regression on high order moments
+Normal rank
@@ Property / cites work @@
+Nonparametric regression estimation of conditional tails: the random covariate case
+Normal rank
@@ Property / cites work @@
+Q5485944
@@ Property / cites work: Q5485944 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3670359
@@ Property / cites work: Q3670359 / rank @@
+Normal rank
@@ Property / cites work @@
+Strong uniform consistency rates for estimators of conditional functionals
+Normal rank
@@ Property / cites work @@
+Optimal bandwidth selection in nonparametric regression function estimation
+Normal rank
@@ Property / cites work @@
+A simple general approach to inference about the tail of a distribution
+Normal rank
@@ Property / cites work @@
+Probability Inequalities for Sums of Bounded Random Variables
+Normal rank
@@ Property / cites work @@
+Complete Convergence and the Law of Large Numbers
@@ Property / cites work: Complete Convergence and the Law of Large Numbers / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of a conditional quantile estimator with randomly truncated data
+Normal rank
@@ Property / cites work @@
+Weak and strong uniform consistency of kernel regression estimates
+Normal rank
@@ Property / cites work @@
+Wiener chaos: Moments, cumulants and diagrams. A survey with computer implementation
+Normal rank
@@ Property / cites work @@
+On Estimation of a Probability Density Function and Mode
+Normal rank
@@ Property / cites work @@
+Remarks on Some Nonparametric Estimates of a Density Function
+Normal rank
@@ Property / cites work @@
+Weak and strong uniform consistency of the kernel estimate of a density and its derivatives
+Normal rank
@@ Property / cites work @@
+Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
+Normal rank
@@ Property / cites work @@
+A law of the logarithm for kernel density estimators
+Normal rank
@@ Property / cites work @@
+Tail Index Regression
@@ Property / cites work: Tail Index Regression / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2613125939
@@ Property / OpenAlex ID: W2613125939 / rank @@
+Normal rank