Uniform asymptotic properties of a nonparametric regression estimator of conditional tails

Yuri Goegebeur (1) , Armelle Guillou (2) , Gilles Stupfler (3)

1 IMADA - Department of Mathematics and Computer Science [Odense]
2 IRMA - Institut de Recherche Mathématique Avancée
3 CERGAM - Centre d'Études et de Recherche en Gestion d'Aix-Marseille

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.

Mots clés: strong uniform consistency; Tail-index; kernel estimation; strong uniform consistency.

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Yuri Goegebeur, Armelle Guillou, Gilles Stupfler. Uniform asymptotic properties of a nonparametric regression estimator of conditional tails. 2013. ⟨hal-00794724v1⟩