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A Journal of Theoretical and Applied Statistics
Volume 48, 2014 - Issue 4
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Original Articles

Nonparametric regression estimation of conditional tails: the random covariate case

Yuri GoegebeurDepartment of Mathematics and Computer Science, University of Southern Denmark, Campusvej 55, 5230Odense M, DenmarkCorrespondence[email protected]
,
Armelle GuillouInstitut Recherche Mathématique Avancée, UMR 7501, Université de Strasbourg et CNRS, 7 rue René Descartes, 67084Strasbourg cedex, France
&
Antoine SchorgenInstitut Recherche Mathématique Avancée, UMR 7501, Université de Strasbourg et CNRS, 7 rue René Descartes, 67084Strasbourg cedex, France
Pages 732-755 | Received 04 May 2012, Accepted 12 Nov 2012, Published online: 24 May 2013

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Nicola Gnecco, Edossa Merga Terefe & Sebastian Engelke. (2024) Extremal Random Forests. Journal of the American Statistical Association 0:0, pages 1-14.
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John H. J. Einmahl, Fan Yang & Chen Zhou. (2021) Testing the Multivariate Regular Variation Model. Journal of Business & Economic Statistics 39:4, pages 907-919.
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Laurens de Haan & Chen Zhou. (2021) Trends in Extreme Value Indices. Journal of the American Statistical Association 116:535, pages 1265-1279.
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Yaolan Ma, Yuexiang Jiang & Wei Huang. (2019) Tail index varying coefficient model. Communications in Statistics - Theory and Methods 48:2, pages 235-256.
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Han-Ying Liang & María del Carmen Iglesias-Pérez. (2018) Weighted estimation of conditional mean function with truncated, censored and dependent data. Statistics 52:6, pages 1249-1269.
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Articles from other publishers (29)

Koki Momoki & Takuma Yoshida. (2024) Hypothesis testing for varying coefficient models in tail index regression. Statistical Papers.
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Michaël Allouche, Jonathan El Methni & Stéphane Girard. (2022) A refined Weissman estimator for extreme quantiles. Extremes 26:3, pages 545-572.
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Holger Drees. (2023) Statistical inference on a changing extreme value dependence structure. The Annals of Statistics 51:4.
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Yuri Goegebeur, Armelle Guillou, Nguyen Khanh Le Ho & Jing Qin. (2023) A Weissman-type estimator of the conditional marginal expected shortfall. Econometrics and Statistics 27, pages 173-196.
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Meryem Bousebata, Geoffroy Enjolras & Stéphane Girard. (2023) Extreme partial least-squares. Journal of Multivariate Analysis 194, pages 105101.
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Arthur Maillart & Christian Y. Robert. (2023) Tail index partition-based rules extraction with application to tornado damage insurance. ASTIN Bulletin, pages 1-27.
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Tchamiè Tchazino, Sophie Dabo-Niang & Aliou Diop. (2023) Tail and Quantile Estimation for Real-Valued $$\boldsymbol{\beta}$$-Mixing Spatial Data. Mathematical Methods of Statistics 31:4, pages 135-164.
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Fatma Ben Khadher & Yousri Slaoui. (2022) The Stochastic Approximation Method for Recursive Kernel Estimation of the Conditional Extreme Value Index. Journal of Statistical Theory and Practice 16:2.
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Yaolan Ma & Bo Wei. (2022) Efficient estimation of partially linear tail index models using B‐splines. Australian & New Zealand Journal of Statistics 64:1, pages 27-44.
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Goedele Dierckx, Yuri Goegebeur & Armelle Guillou. (2019) Local Robust Estimation of Pareto-Type Tails with Random Right Censoring. Sankhya A 83:1, pages 70-108.
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Yaolan Ma, Bo Wei & Wei Huang. (2019) A nonparametric estimator for the conditional tail index of Pareto-type distributions. Metrika 83:1, pages 17-44.
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Gilles Stupfler. (2019) On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails. Extremes 22:4, pages 749-769.
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Yuri Goegebeur, Armelle Guillou & Jing Qin. (2019) Bias-corrected estimation for conditional Pareto-type distributions with random right censoring. Extremes 22:3, pages 459-498.
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Mikael Escobar‐Bach, Yuri Goegebeur & Armelle Guillou. (2018) Local Estimation of the Conditional Stable Tail Dependence Function. Scandinavian Journal of Statistics 45:3, pages 590-617.
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Yaolan Ma, Yuexiang Jiang & Wei Huang. (2018) Empirical likelihood based inference for conditional Pareto-type tail index. Statistics & Probability Letters 134, pages 114-121.
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Tertius de Wet, Yuri Goegebeur, Armelle Guillou & Michael Osmann. (2015) Kernel regression with Weibull-type tails. Annals of the Institute of Statistical Mathematics 68:5, pages 1135-1162.
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Gilles Stupfler. (2016) Estimating the conditional extreme-value index under random right-censoring. Journal of Multivariate Analysis 144, pages 1-24.
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Pathé Ndao, Aliou Diop & Jean-François Dupuy. (2016) Nonparametric estimation of the conditional extreme-value index with random covariates and censoring. Journal of Statistical Planning and Inference 168, pages 20-37.
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Alice X.D. Dong, Jennifer S.K. Chan & Gareth W. Peters. (2015) RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES. ASTIN Bulletin 45:3, pages 503-550.
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Gilles Durrieu, Ion Grama, Quang-Khoai Pham & Jean-Marie Tricot. (2015) Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles. Extremes 18:3, pages 437-478.
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Yuri Goegebeur, Armelle Guillou & Gilles Stupfler. (2015) Uniform asymptotic properties of a nonparametric regression estimator of conditional tails. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 51:3.
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Yuri Goegebeur, Armelle Guillou & Michael Osmann. (2015) An estimator for the tail index of an integrated conditional Pareto–Weibull-type model. Statistics & Probability Letters 103, pages 8-16.
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Yuri Goegebeur, Armelle Guillou & Théo Rietsch. (2014) Robust conditional Weibull-type estimation. Annals of the Institute of Statistical Mathematics 67:3, pages 479-514.
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Yuri Goegebeur, Armelle Guillou & Michael Osmann. (2014) A local moment type estimator for the extreme value index in regression with random covariates. Canadian Journal of Statistics 42:3, pages 487-507.
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Goedele Dierckx, Yuri Goegebeur & Armelle Guillou. (2014) Local robust and asymptotically unbiased estimation of conditional Pareto-type tails. TEST 23:2, pages 330-355.
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Laurent Gardes & Gilles Stupfler. (2013) Estimation of the conditional tail index using a smoothed local Hill estimator. Extremes 17:1, pages 45-75.
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Gilles Stupfler. (2013) A moment estimator for the conditional extreme-value index. Electronic Journal of Statistics 7:none.
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John H. J. Einmahl, Fan Yang & Chen Zhou. (2018) Testing the Multivariate Regular Variation Model. SSRN Electronic Journal.
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Bryan T. Kelly. (2014) The Dynamic Power Law Model. SSRN Electronic Journal.
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