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A new location-scale model for conditional heavy-tailed distributions
| Content Provider | Semantic Scholar |
|---|---|
| Author | Ahmad, Aboubacrène Ag Diop, Aliou Deme, El Hadji Girard, Stéphane |
| Copyright Year | 2018 |
| 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. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://hal.archives-ouvertes.fr/hal-01942204/file/Poster.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
