A moving window approach for nonparametric estimation of the conditional tail index

DOI10.1016/j.jmva.2008.02.023zbMath1151.62040arXiv1104.0763OpenAlexW2089690619MaRDI QIDQ957320

Stéphane Girard, Laurent Gardes

Publication date: 27 November 2008

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.0763

zbMATH Keywords

extreme valuesnonparametric estimationmoving windowconditional tail index

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (32)

Extreme quantile estimation for \(\beta\)-mixing time series and applications ⋮ Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring ⋮ The stochastic approximation method for recursive kernel estimation of the conditional extreme value index ⋮ Functional kernel estimation of the conditional extreme value index under random right censoring ⋮ Kernel regression with Weibull-type tails ⋮ Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions ⋮ A moment estimator for the conditional extreme-value index ⋮ Nonparametric regression estimation of conditional tails: the random covariate case ⋮ Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions ⋮ Efficient estimation of partially linear tail index models using B‐splines ⋮ Estimation of extreme quantiles from heavy-tailed distributions with neural networks ⋮ Dynamic tail inference with log-Laplace volatility ⋮ Nonparametric estimation of the conditional extreme-value index with random covariates and censoring ⋮ Empirical likelihood based inference for conditional Pareto-type tail index ⋮ Estimating the conditional tail index by integrating a kernel conditional quantile estimator ⋮ On kernel smoothing for extremal quantile regression ⋮ Functional kernel estimators of large conditional quantiles ⋮ Estimation of extreme quantiles from heavy-tailed distributions in a location-dispersion regression model ⋮ The dynamic power law model ⋮ Estimation of the conditional tail index using a smoothed local Hill estimator ⋮ Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles ⋮ A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes ⋮ Uniform asymptotic properties of a nonparametric regression estimator of conditional tails ⋮ Local Estimation of the Second-Order Parameter in Extreme Value Statistics and Local Unbiased Estimation of the Tail Index ⋮ Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence ⋮ Subsampling extremes: from block maxima to smooth tail estimation ⋮ Kernel estimators of extreme level curves ⋮ On the Strong Consistency of the Kernel Estimator of Extreme Conditional Quantiles ⋮ A nonparametric estimator for the conditional tail index of Pareto-type distributions ⋮ Functional nonparametric estimation of conditional extreme quantiles ⋮ Tail index varying coefficient model ⋮ Robust conditional Weibull-type estimation

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