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Article Dans Une Revue Electronic Journal of Statistics Année : 2013

A moment estimator for the conditional extreme-value index

Résumé

In extreme value theory, the so-called extreme-value index is a parameter that controls the behavior of a distribution function in its right tail. Knowing this parameter is thus essential to solve many problems related to extreme events. In this paper, the estimation of the extreme-value index is considered in the presence of a random covariate, whether the conditional distribution of the variable of interest belongs to the Fréchet, Weibull or Gumbel max-domain of attraction. The pointwise weak consistency and asymptotic normality of the proposed estimator are established. We examine the finite sample performance of our estimator in a simulation study and we illustrate its behavior on a real set of fire insurance data.
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Dates et versions

hal-00846594 , version 1 (19-07-2013)
hal-00846594 , version 2 (05-09-2013)
hal-00846594 , version 3 (17-09-2013)

Identifiants

  • HAL Id : hal-00846594 , version 3

Citer

Gilles Stupfler. A moment estimator for the conditional extreme-value index. Electronic Journal of Statistics , 2013, 7, pp.2298-2343. ⟨hal-00846594v3⟩
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