Uniform asymptotic properties of a nonparametric regression estimator of conditional tails
http://api.archives-ouvertes.fr/search/?fq=halId_s:hal-00794724&fl=title_s,en_title_s,docid,label_s,en_label_s,docType_s,authIdHal_s,halId_s,structId_i,uri_s,keyword_s,en_keyword_s,authLastNameFirstName_s,journalTitle_s,abstract_s,en_abstract_s,producedDate_tdate,producedDateY_i,language_s,fileMain_s&sort=publicationDate_s+desc
authors
keywords
- Strong uniform consistency
- Tail-index
- Kernel estimation
- Strong uniform consistency
document type
ARTabstract
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.
