Uniform asymptotic properties of a nonparametric regression estimator of conditional tails
Annales de l'I.H.P. Probabilités et statistiques, Tome 51 (2015) no. 3, pp. 1190-1213.

Nous considérons l’estimateur à noyau de l’indice des valeurs extrêmes conditionnel présenté dans Goegebeur, Y., Guillou, A., Schorgen, G. (2013). Nonparametric regression estimation of conditional tails – the random covariate case. Nous montrons la consistance uniforme presque sûre de cet estimateur sur les compacts et nous calculons sa vitesse de convergence presque sûre.

We consider a nonparametric regression estimator of conditional tails introduced by Goegebeur, Y., Guillou, A., Schorgen, G. (2013). Nonparametric regression estimation of conditional tails – the random covariate case. It is shown that this estimator is uniformly strongly consistent on compact sets and its rate of convergence is given.

DOI : 10.1214/14-AIHP624
Mots-clés : tail-index, kernel estimation, strong uniform consistency 
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     journal = {Annales de l'I.H.P. Probabilit\'es et statistiques},
     pages = {1190--1213},
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Goegebeur, Yuri; Guillou, Armelle; Stupfler, Gilles. Uniform asymptotic properties of a nonparametric regression estimator of conditional tails. Annales de l'I.H.P. Probabilités et statistiques, Tome 51 (2015) no. 3, pp. 1190-1213. doi : 10.1214/14-AIHP624. http://archive.numdam.org/articles/10.1214/14-AIHP624/

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