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Poster communications

A new location-scale model for conditional heavy-tailed distributions

Abstract : We are interested in a location-scale model for heavy-tailed distributions where the covariate is deterministic. We first address the nonparametric estimation of the location and scale functions and derive an estimator of the conditional extreme-value index. Second, new estimators of the extreme conditional quantiles are introduced. The asymptotic properties of the estimators are established under mild assumptions.
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https://hal.archives-ouvertes.fr/hal-01942204
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Submitted on : Monday, February 10, 2020 - 2:44:34 PM
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Aboubacrène Ag Ahmad, Aliou Diop, El Hadji Deme, Stéphane Girard. A new location-scale model for conditional heavy-tailed distributions. IFSS 2018 - 2nd Italian-French Statistics Seminar, Sep 2018, Grenoble, France. ⟨hal-01942204⟩

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