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| Detailed view | Preprint, Working Paper, ... |
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| Available versions: | v1 (2008-06-24) | v2 (2009-04-30) | v3 (2009-06-11) | v4 (2013-04-25) |
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| FUNCTIONAL NONPARAMETRIC ESTIMATION OF CONDITIONAL EXTREME QUANTILES |
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| Laurent Gardes1Stéphane Girard1Alexandre Lekina1 |
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| We address the estimation of quantiles from heavy-tailed distributions when functional covariate information is available and in the case where the order of the quantile converges to one as the sample size increases. Such "extreme" quantiles can be located in the range of the data or near and even beyond the boundary of the sample, depending on the convergence rate of their order to one. Nonparametric estimators of these functional extreme quantiles are introduced, their asymptotic distributions are established and an illustration on a real data set is presented. |
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| 1: | INRIA Grenoble Rhône-Alpes / LJK Laboratoire Jean Kuntzmann - MISTIS |
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| Conditional quantile – extreme-values – nonparametric estimation – functional data. |
| hal-00289996, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00289996 | |
| oai:hal.archives-ouvertes.fr:hal-00289996 | |
| From: Laurent Gardes | |
| Submitted on: Tuesday, 24 June 2008 14:02:03 | |
| Updated on: Tuesday, 24 June 2008 14:03:54 | |
