A moving window approach for nonparametric estimation of the conditional tail index |
| |
Authors: | Laurent Gardes Stphane Girard |
| |
Institution: | aINRIA Rhône-Alpes, team Mistis, 655, avenue de l’Europe, Montbonnot, 38334 Saint-Ismier Cedex, France |
| |
Abstract: | We present a nonparametric family of estimators for the tail index of a Pareto-type distribution when covariate information is available. Our estimators are based on a weighted sum of the log-spacings between some selected observations. This selection is achieved through a moving window approach on the covariate domain and a random threshold on the variable of interest. Asymptotic normality is proved under mild regularity conditions and illustrated for some weight functions. Finite sample performances are presented on a real data study. |
| |
Keywords: | 62G32 62G05 62E20 |
本文献已被 ScienceDirect 等数据库收录! |
|