| Autor: |
Gardes, L., Girard, S. |
| Rok vydání: |
2011 |
| Předmět: |
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| Zdroj: |
Journal of Multivariate Analysis, 99, 2368-2388 (2008) |
| Druh dokumentu: |
Working Paper |
| Popis: |
We present a nonparametric family of estimators for the tail index of a Pareto-type distribution when covariate information is available. Our estimators are based on a weighted sum of the log-spacings between some selected observations. This selection is achieved through a moving window approach on the covariate domain and a random threshold on the variable of interest. Asymptotic normality is proved under mild regularity conditions and illustrated for some weight functions. Finite sample performances are presented on a real data study. |
| Databáze: |
arXiv |
| Externí odkaz: |
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