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

DOI10.1007/S10687-013-0174-5zbMATH Open1302.62076OpenAlexW2052984113MaRDI QIDQ483516FDOQ483516

Authors: Laurent Gardes, Gilles Stupfler 

Publication date: 17 December 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-013-0174-5

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zbMATH Keywords

uniform consistencyheavy-tailed distributionrandom covariatepointwise asymptotic normality

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)

Cites Work

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

Cited In (37)

• A nonparametric estimator for the conditional tail index of Pareto-type distributions
• Smooth tail-index estimation
• Nonparametric confidence intervals for conditional quantiles with large-dimensional covariates
• Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
• Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
• Hypothesis testing for varying coefficient models in tail index regression
• A local moment type estimator for an extreme quantile in regression with random covariates
• Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
• Estimation of high conditional quantiles using the Hill estimator of the tail index
• Tail index partition-based rules extraction with application to tornado damage insurance
• On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
• Estimating conditional means with heavy tails
• Kernel regression with Weibull-type tails
• A moment estimator for the conditional extreme-value index
• Tail index varying coefficient model
• Hill estimator of projections of functional data on principal components
• Efficient estimation of partially linear tail index models using B‐splines
• Partially smooth tail-index estimation for small samples
• Estimating the conditional tail index by integrating a kernel conditional quantile estimator
• Estimation of extreme quantiles from heavy-tailed distributions with neural networks
• The dynamic power law model
• Improved estimation of the extreme value index using related variables
• Extremal Random Forests
• Estimating the conditional extreme-value index under random right-censoring
• Nonparametric estimation of the conditional extreme-value index with random covariates and censoring
• Robust conditional Weibull-type estimation
• Local Estimation of the Conditional Stable Tail Dependence Function
• Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles
• Uniform asymptotic properties of a nonparametric regression estimator of conditional tails
• On Smooth Statistical Tail Functionals
• Dynamic tail inference with log-Laplace volatility
• Estimation of extreme quantiles from heavy-tailed distributions in a location-dispersion regression model
• A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes
• Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
• Extreme quantiles and tail index of a distribution based on kernel estimator
• Testing the Multivariate Regular Variation Model
• Local polynomial maximum likelihood estimation for Pareto-type distributions.

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