Functional kernel estimators of conditional extreme quantiles
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Publication:6237757
arXiv1212.1076MaRDI QIDQ6237757FDOQ6237757
Authors: Laurent Gardes, Stéphane Girard 
Publication date: 5 December 2012
Abstract: We address the estimation of "extreme" conditional quantiles i.e. when their order converges to one as the sample size increases. Conditions on the rate of convergence of their order to one are provided to obtain asymptotically Gaussian distributed kernel estimators. A Weissman-type estimator and kernel estimators of the conditional tail-index are derived, permitting to estimate extreme conditional quantiles of arbitrary order.
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