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.
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Gardes, L., Girard, S. Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels. Extremes 13, 177–204 (2010). https://doi.org/10.1007/s10687-010-0100-z
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DOI: https://doi.org/10.1007/s10687-010-0100-z