Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles
Autor: | Jean-Marie Tricot, Gilles Durrieu, Quang-Khoai Pham, Ion Grama |
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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: |
Statistics and Probability
Pointwise Economics Econometrics and Finance (miscellaneous) Estimator Conditional probability distribution 010501 environmental sciences 01 natural sciences Combinatorics 010104 statistics & probability symbols.namesake Distribution function [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] Statistics symbols Fréchet distribution Pareto distribution 0101 mathematics Engineering (miscellaneous) Random variable ComputingMilieux_MISCELLANEOUS 0105 earth and related environmental sciences Quantile Mathematics |
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 |
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