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arXiv · 2002.01740

Extreme quantile regression in a proportional tail framework

Benjamin Bobbia·Clément Dombry·Davit Varron
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Abstract

We revisit the model of heteroscedastic extremes initially introduced by Einmahl et al. (JRSSB, 2016) to describe the evolution of a non stationary sequence whose extremes evolve over time and adapt it into a general extreme quantile regression framework. We provide estimates for the extreme value index and the integrated skedasis function and prove their asymptotic normality. Our results are quite similar to those developed for heteroscedastic extremes but with a different proof approach emphasizing coupling arguments. We also propose a pointwise estimator of the skedasis function and a Weissman estimator of the conditional extreme quantile and prove the asymptotic normality of both estimators.

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Benjamin Bobbia, Clément Dombry, Davit Varron. 2020-02-05. Extreme quantile regression in a proportional tail framework. https://arxiv.org/abs/2002.01740

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