Functional kernel estimators of large conditional quantiles
نویسندگان
چکیده
منابع مشابه
Functional kernel estimators of conditional extreme quantiles
We address the estimation of “extreme” conditional quantiles i.e. when their order converges to one as the sample size increases. Conditions on the rate of convergence of their order to one are provided to obtain asymptotically Gaussian distributed kernel estimators. A Weissman-type estimator and kernel estimators of the conditional tailindex are derived, permitting to estimate extreme conditio...
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