Conditional extremes from heavy-tailed distributions: An application to the estimation of extreme rainfall return levels
Résumé
This paper is dedicated to the estimation of extreme quantiles and the tail index from heavy-tailed distributions when a covariate is recorded simultaneously with the quantity of interest. A nearest neighbor approach is used to construct our estimators. Their asymptotic normality is established under mild regularity conditions and their finite sample properties are illustrated on a simulation study. An application to the estimation of return levels of extreme rainfalls in the Cevennes-Vivarais region is provided.
Origine | Fichiers produits par l'(les) auteur(s) |
---|