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MA
2010
Springer

Functional nonparametric estimation of conditional extreme quantiles

11 years 10 months ago
Functional nonparametric estimation of conditional extreme quantiles
Abstract − We address the estimation of quantiles from heavy-tailed distributions when functional covariate information is available and in the case where the order of the quantile converges to one as the sample size increases. Such ”extreme” quantiles can be located in the range of the data or near and even beyond the boundary of the sample, depending on the convergence rate of their order to one. Nonparametric estimators of these functional extreme quantiles are introduced, their asymptotic distributions are established and their finite sample behavior is investigated. Keywords − Conditional quantile, extreme-values, nonparametric estimation, functional data. AMS Subject classifications − 62G32, 62G05, 62E20.
Laurent Gardes, Stéphane Girard, Alexandre
Added 29 Jan 2011
Updated 29 Jan 2011
Type Journal
Year 2010
Where MA
Authors Laurent Gardes, Stéphane Girard, Alexandre Lekina
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