Uniform asymptotic properties of a nonparametric regression estimator of conditional tails
Goegebeur, Yuri ; Guillou, Armelle ; Stupfler, Gilles
Annales de l'I.H.P. Probabilités et statistiques, Tome 51 (2015), p. 1190-1213 / Harvested from Numdam
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Nous considérons l’estimateur à noyau de l’indice des valeurs extrêmes conditionnel présenté dans Goegebeur, Y., Guillou, A., Schorgen, G. (2013). Nonparametric regression estimation of conditional tails – the random covariate case. Nous montrons la consistance uniforme presque sûre de cet estimateur sur les compacts et nous calculons sa vitesse de convergence presque sûre.

We consider a nonparametric regression estimator of conditional tails introduced by Goegebeur, Y., Guillou, A., Schorgen, G. (2013). Nonparametric regression estimation of conditional tails – the random covariate case. It is shown that this estimator is uniformly strongly consistent on compact sets and its rate of convergence is given.

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     author = {Goegebeur, Yuri and Guillou, Armelle and Stupfler, Gilles},
     title = {Uniform asymptotic properties of a nonparametric regression estimator of conditional tails},
     journal = {Annales de l'I.H.P. Probabilit\'es et statistiques},
     volume = {51},
     year = {2015},
     pages = {1190-1213},
     doi = {10.1214/14-AIHP624},
     mrnumber = {3365978},
     zbl = {1326.62089},
     language = {en},
     url = {http://dml.mathdoc.fr/item/AIHPB_2015__51_3_1190_0}
}

Goegebeur, Yuri; Guillou, Armelle; Stupfler, Gilles. Uniform asymptotic properties of a nonparametric regression estimator of conditional tails. Annales de l'I.H.P. Probabilités et statistiques, Tome 51 (2015) pp. 1190-1213. doi : 10.1214/14-AIHP624. http://gdmltest.u-ga.fr/item/AIHPB_2015__51_3_1190_0/

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