Functional kernel estimators of conditional extreme quantiles

Laurent Gardes (1) , Stéphane Girard (1)

1 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems

We address the estimation of ''extreme'' conditional quantiles i.e. when their order converges to one as the sample size increases. Conditions on the rate of convergence of their order to one are provided to obtain asymptotically Gaussian distributed kernel estimators. A Weissman-type estimator and kernel estimators of the conditional tail-index are derived, permitting to estimate extreme conditional quantiles of arbitrary order.

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

Laurent Gardes, Stéphane Girard. Functional kernel estimators of conditional extreme quantiles. Frédéric Ferraty. Recent advances in functional data analysis and related topics, Springer, Physica-Verlag, pp.135-140, 2011, Contributions to Statistics, 978-3-7908-2735-4. ⟨10.1007/978-3-7908-2736-1_21⟩. ⟨hal-00764317v2⟩