Estimating conditional means with heavy tails

DOI10.1016/j.spl.2017.03.023zbMath1380.62226OpenAlexW2605170847MaRDI QIDQ2406771

Qiwei Yao, Liang Peng

Publication date: 6 October 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/73082/1/Yao_Estimating%20conditional%20means_2017.pdf

zbMATH Keywords

asymptotic normalityextreme value theoryheavy tailconditional mean

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (1)

A simple nonparametric conditional quantile estimator for time series with thin tails

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