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Extremes

, Volume 13, Issue 2, pp 177–204 | Cite as

Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels

  • Laurent Gardes
  • Stéphane Girard
Article

Abstract

This paper is dedicated to the estimation of extreme quantiles and the tail index from heavy-tailed distributions when a covariate is recorded simultaneously with the quantity of interest. A nearest neighbor approach is used to construct our estimators. Their asymptotic normality is established under mild regularity conditions and their finite sample properties are illustrated on a simulation study. An application to the estimation of pointwise return levels of extreme rainfalls in the Cévennes-Vivarais region is provided.

Keywords

Conditional extreme quantiles Heavy-tailed distribution Nearest neighbor estimator Extreme rainfalls 

AMS 2000 Subject Classifications

62G32 62G05 62E20 

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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.Team MistisINRIA Rhône-Alpes and Laboratoire Jean KuntzmannSaint-Ismier CedexFrance

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