Functional nonparametric estimation of conditional extreme quantiles

Laurent Gardes 1 Stephane Girard 1 Alexandre Lekina 1
1 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, INPG - Institut National Polytechnique de Grenoble
Abstract : We address the estimation of quantiles from heavy-tailed distributions when functional covariate information is available and in the case where the order of the quantile converges to one as the sample size increases. Such "extreme" quantiles can be located in the range of the data or near and even beyond the boundary of the sample, depending on the convergence rate of their order to one. Nonparametric estimators of these functional extreme quantiles are introduced, their asymptotic distributions are established and their finite sample behavior is investigated.
Type de document :
Article dans une revue
Journal of Multivariate Analysis, Elsevier, 2010, 101 (2), pp.419-433. <10.1016/j.jmva.2009.06.007>
Liste complète des métadonnées

https://hal.archives-ouvertes.fr/hal-00289996
Contributeur : Laurent Gardes <>
Soumis le : jeudi 25 avril 2013 - 11:46:12
Dernière modification le : samedi 17 janvier 2015 - 17:18:26

Fichier

condquant10.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

Collections

Citation

Laurent Gardes, Stephane Girard, Alexandre Lekina. Functional nonparametric estimation of conditional extreme quantiles. Journal of Multivariate Analysis, Elsevier, 2010, 101 (2), pp.419-433. <10.1016/j.jmva.2009.06.007>. <hal-00289996v4>

Partager

Métriques

Consultations de
la notice

301

Téléchargements du document

132