Estimating the conditional tail index by integrating a kernel conditional quantile estimator

被引：8

作者：

Gardes, L. ^{[3
]}

Guillou, A. ^{[1
,2
]}

Schorgen, A. ^{[1
,2
]}

机构：

[1] Univ Strasbourg, F-67084 Strasbourg, France

[2] CNRS, IRMA, UMR 7501, F-67084 Strasbourg, France

[3] INRIA Rhone Alpes, Projet Mistis, F-38334 Montbonnot St Martin, Saint Ismier, France

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2012年 / 142卷 / 06期

关键词：

Heavy-tailed distribution; Covariates; Kernel estimator; Asymptotic normality; NONPARAMETRIC-ESTIMATION; MODELS;

D O I：

10.1016/j.jspi.2012.01.011

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper deals with the estimation of the tail index of a heavy-tailed distribution in the presence of covariates. A class of estimators is proposed in this context and its asymptotic normality established under mild regularity conditions. These estimators are functions of a kernel conditional quantile estimator depending on some tuning parameters. The finite sample properties of our estimators are illustrated on a small simulation study. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：1586 / 1598

页数：13

共 50 条

[21] Kernel conditional quantile estimation for stationary processes with application to conditional value-at-risk
Wu, Wei Biao
Yu, Keming
Mitra, Gautam
[J]. JOURNAL OF FINANCIAL ECONOMETRICS, 2008, 6 (02) : 253 - 270
[22] Asymptotic Normality of a Kernel Conditional Quantile Estimator Under Strong Mixing Hypothesis and Left-Truncation
Said, Elias Ould
Yahia, Djabrane
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2011, 40 (14) : 2605 - 2627
[23] KERNEL AND NEAREST-NEIGHBOR ESTIMATION OF A CONDITIONAL QUANTILE
BHATTACHARYA, PK
GANGOPADHYAY, AK
[J]. ANNALS OF STATISTICS, 1990, 18 (03): : 1400 - 1415
[24] Kernel Conditional Quantile Estimation via Reduction Revisited
Quadrianto, Novi
Kersting, Kristian
Reid, Mark D.
Caetano, Tiberio S.
Buntine, Wray L.
[J]. 2009 9TH IEEE INTERNATIONAL CONFERENCE ON DATA MINING, 2009, : 938 - +
[25] Berry-Esseen-type bounds for the kernel estimator of conditional distribution and conditional quantiles
Chen, G
[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 1997, 60 (02) : 311 - 330
[26] Asymptotic properties of a conditional quantile estimator with randomly truncated data
Lemdani, Mohamed
Ould-Said, Elias
Poulin, Nicolas
[J]. JOURNAL OF MULTIVARIATE ANALYSIS, 2009, 100 (03) : 546 - 559
[27] Asymptotic properties of conditional quantile estimator for censored dependent observations
Liang, Han-Ying
de Una-Alvarez, Jacobo
[J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2011, 63 (02) : 267 - 289
[28] Asymptotic properties of conditional quantile estimator for censored dependent observations
Han-Ying Liang
Jacobo de Uña-Álvarez
[J]. Annals of the Institute of Statistical Mathematics, 2011, 63 : 267 - 289
[29] Prediction via the Quantile-Copula Conditional Density Estimator
Faugeras, Olivier P.
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2012, 41 (01) : 16 - 33
[30] Kernel methods for estimating derivatives of conditional quantiles
Lee, Young Kyung
Lee, Eun Ryung
[J]. JOURNAL OF THE KOREAN STATISTICAL SOCIETY, 2008, 37 (04) : 365 - 373

← 1 2 3 4 5 →