Semi-parametric estimation for heavy tailed distributions

By Gabriela Ciuperca, Cécile Mercadier. 2010

73 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/94f8dff20f9ea77b4265e37ffb0b9bfebc391832

Citations in the corpus

• Nonparametric regression estimation of conditional tails: the random covariate case (2014, unknown): “Using the Cramér-Wold device, to establish (10) it is sufficient to show that for all ξ ∈ R2, ‖ξ‖ 6 = 0, we have that ξrn  T (1,t1) n (x,K1) Γ(t1+1)T (1,0) n (x,L1) − γt1(x) T (1,t2) n (x,K2) Γ(t2+1)T (1,0) n (x,L2) − γt2(x)  D → N(ξ′δ, ξ′Ωξ).”