A new location-scale model for conditional heavy-tailed distributions
Abstract
We are interested in a location-scale model for heavy-tailed distributions where the covariate is deterministic. We first address the nonparametric estimation of the location and scale functions and derive an estimator of the conditional extreme-value index. Second, new estimators of the extreme conditional quantiles are introduced. The asymptotic properties of the estimators are established under mild assumptions.
Domains
Statistics [math.ST]| Origin | Files produced by the author(s) |
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