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Article Dans Une Revue Test Année : 2014

Local robust and asymptotically unbiased estimation of conditional Pareto-type tails

Résumé

We introduce a non-parametric robust and asymptotically unbiased estima-tor for the tail index of a conditional Pareto-type response distribution in presence of random covariates. The estimator is obtained from local fits of the extended Pareto distribution to the relative excesses over a high threshold using an adjusted minimum density power divergence estimation technique. We derive the asymptotic properties of the proposed estimator under some mild regularity conditions, and also investigate its finite sample performance with a small simulation experiment. The practical applicability of the methodology is illustrated on a dataset of calcium content measurements of soil samples.
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Dates et versions

hal-01311809 , version 1 (11-05-2016)

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Goedele Dierckx, Yuri Goegebeur, Armelle Guillou. Local robust and asymptotically unbiased estimation of conditional Pareto-type tails. Test, 2014, 23 (2), ⟨10.1007/s11749-013-0350-6⟩. ⟨hal-01311809⟩
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