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

Aboubacrène Ag Ahmad (1) , Aliou Diop (1) , El Hadji Deme (2) , Stéphane Girard (3)

1 UGB - Université Gaston Berger de Saint-Louis Sénégal
2 LERSTAD - laboratoire d'Etudes et de recherches en Statistiques et Développement
3 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems

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.

Domaines: Statistiques [math.ST]

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⟩