Estimation of the conditional tail index using a smoothed local Hill estimator (Q483516)
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scientific article; zbMATH DE number 6381126
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| English | Estimation of the conditional tail index using a smoothed local Hill estimator |
scientific article; zbMATH DE number 6381126 |
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Estimation of the conditional tail index using a smoothed local Hill estimator (English)
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17 December 2014
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heavy-tailed distribution
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random covariate
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uniform consistency
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pointwise asymptotic normality
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0.8944684267044067
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0.8748409152030945
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0.8602818846702576
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0.8578073382377625
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