Uniform asymptotic properties of a nonparametric regression estimator of conditional tails (Q500814): Difference between revisions
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English | Uniform asymptotic properties of a nonparametric regression estimator of conditional tails |
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Uniform asymptotic properties of a nonparametric regression estimator of conditional tails (English)
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5 October 2015
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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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tail-index
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kernel estimation
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strong uniform consistency
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