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Uniform asymptotic properties of a nonparametric regression estimator of conditional tails. (English. French summary) Zbl 1326.62089

This paper studies a nonparametric regression estimator of conditional tails introduced by the first two authors and A. Schorgen [Statistics 48, No. 4, 732–755 (2014; Zbl 1326.62088)]. The estimator is shown to be uniformly strongly consistent on compact sets in a semiparametric framework. Moreover its rate of convergence is given.

MSC:

62G08 Nonparametric regression and quantile regression
62G05 Nonparametric estimation
62G20 Asymptotic properties of nonparametric inference
62G32 Statistics of extreme values; tail inference

Citations:

Zbl 1326.62088
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References:

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