Abstract : We present a nonparametric family of estimators for the tail coefficient of a Weibull tail-distribution when a functional covariate is available. Our estimators are based on a kernel estimator of extreme conditional quantiles, extending a previous work to the infinite dimensional case. Asymptotic normality of the estimators is proved under mild regularity conditions. Their finite sample performances are illustrated both on simulated and real data.
https://hal.archives-ouvertes.fr/hal-01571990
Contributeur : Stephane Girard
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Soumis le : vendredi 4 août 2017 - 11:16:52
Dernière modification le : mercredi 11 avril 2018 - 01:58:45
Stéphane Girard, Laurent Gardes. Estimation of the functional Weibull tail-coefficient. 10th International Conference on Extreme Value Analysis, Jun 2017, Delft, Netherlands. 〈hal-01571990〉
