A moving window approach for nonparametric estimation of the conditional tail index |
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Authors: | Laurent Gardes,St phane Girard |
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Affiliation: | aINRIA Rhône-Alpes, team Mistis, 655, avenue de l’Europe, Montbonnot, 38334 Saint-Ismier Cedex, France |
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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. |
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Keywords: | 62G32 62G05 62E20 |
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