Uniform asymptotic properties of a nonparametric regression estimator of conditional tails

authors

  • Goegebeur Yuri
  • Guillou Armelle
  • Stupfler Gilles

keywords

  • Strong uniform consistency
  • Tail-index
  • Kernel estimation
  • Strong uniform consistency

document type

UNDEFINED

abstract

We consider a nonparametric regression estimator of conditional tails introduced by Goegebeur, Y., Guillou, A., Schorgen, G. (2013). Nonparametric regression estimation of conditional tails - the random covariate case. It is shown that this estimator is uniformly strongly consistent on compact sets and its rate of convergence is given.

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