Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles

Autor: Jean-Marie Tricot, Gilles Durrieu, Quang-Khoai Pham, Ion Grama
Přispěvatelé: Laboratoire de Mathématiques de Bretagne Atlantique (LMBA), Université de Brest (UBO)-Université de Bretagne Sud (UBS)-Centre National de la Recherche Scientifique (CNRS)
Jazyk: angličtina
Rok vydání: 2015
Předmět:
Zdroj: Extremes
Extremes, Springer Verlag (Germany), 2015, 18 (3), pp.437-478. ⟨10.1007/s10687-015-0219-z⟩
ISSN: 1386-1999
1572-915X
DOI: 10.1007/s10687-015-0219-z⟩
Popis: Let F t (x)=P(X≤x|T=t) be the conditional distribution of a random variable X given that a covariate T takes the value $t \in [0,T_{\max }],$ where we assume that the distributions F t are in the domain of attraction of the Frechet distribution. We observe independent random variables $X_{t_{1}},...,X_{t_{n}}$ associated to a sequence of times $0\leq t_{1}
Databáze: OpenAIRE