Conditional extremes from heavy-tailed distributions : An application to the estimation of extreme rainfall return levels

@inproceedings{Gardes2017ConditionalEF,
  title={Conditional extremes from heavy-tailed distributions : An application to the estimation of extreme rainfall return levels},
  author={Laurent Gardes and St{\'e}phane Girard},
  year={2017}
}
− This paper is dedicated to the estimation of extreme quantiles and the tail index from heavy-tailed distributions when a covariate is recorded simultaneously with the quantity of interest. A nearest neighbor approach is used to construct our estimators. Their asymptotic normality is established under mild regularity conditions and their finite sample properties are illustrated on a simulation study. An application to the estimation of pointwise return levels of extreme rainfalls in the C… CONTINUE READING
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