A local moment type estimator for the extreme value index in regression with random covariates

@inproceedings{Goegebeur2013ALM,
  title={A local moment type estimator for the extreme value index in regression with random covariates},
  author={Yuri Goegebeur and Armelle Guillou and Michael Osmann},
  year={2013}
}
Abstract. This paper deals with the nonparametric estimation of the conditional tail index in presence of random covariates. In particular, it is assumed that the conditional response distribution belongs to the max-domain of attraction of the extreme value distribution, and its tail index is estimated locally within a narrow neighborhood of the point of interest in the covariate space. The moment estimator, originally introduced in Dekkers, Einmahl, & de Haan (1989), is adjusted to the local… CONTINUE READING

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