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Uniform asymptotic properties of a nonparametric regression estimator of conditional tails

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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Submitted on : Monday, February 6, 2017 - 2:18:06 PM
Last modification on : Wednesday, August 5, 2020 - 3:14:38 AM

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Yuri Goegebeur, Armelle Guillou, Gilles Stupfler. Uniform asymptotic properties of a nonparametric regression estimator of conditional tails. Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, Institute Henri Poincaré, 2015, 51 (3), pp.1190--1213. ⟨10.1214/14-AIHP624⟩. ⟨hal-01457385⟩

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