Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
Abstract: We introduce a location-scale model for conditional heavy-tailed distributions when the covariate is deterministic. First, nonparametric estimators of the location and scale functions are introduced. Second, an estimator of the conditional extreme-value index is derived. The asymptotic properties of the estimators are established under mild assumptions and their finite sample properties are illustrated both on simulated and real data.
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Bibliographic citation
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Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions ; volume:7 ; number:1 ; year:2019 ; pages:394-417 ; extent:24
Dependence modeling ; 7, Heft 1 (2019), 394-417 (gesamt 24)
- Creator
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Ahmad, Aboubacrène Ag
Deme, El Hadji
Diop, Aliou
Girard, Stéphane
- DOI
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10.1515/demo-2019-0021
- URN
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urn:nbn:de:101:1-2411181555327.937426364732
- Rights
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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15.08.2025, 7:31 AM CEST
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Associated
- Ahmad, Aboubacrène Ag
- Deme, El Hadji
- Diop, Aliou
- Girard, Stéphane
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