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  • Estimation of Extreme Quantiles From Heavy-Tailed Distributions in A Semi-Parametric Location-Dispersion Regression Model

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    Aboubacrène Ag Ahmad
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    This document summarizes a statistical method for estimating extreme quantiles from heavy-tailed distributions in a semi-parametric location-dispersion regression model. It models a response variable Y as the sum of an unknown regression function a(x) and an unknown dispersion function b(x) multiplied by a heavy-tailed random variable Z. It estimates a(x) and b(x) nonparametrically, estimates the tail index of Z from the residuals, and uses these to construct a plug-in estimator for extreme conditional quantiles. This approach reduces bias compared to other methods and avoids the curse of dimensionality of purely nonparametric approaches.

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    This document summarizes a statistical method for estimating extreme quantiles from heavy-tailed distributions in a semi-parametric location-dispersion regression model. It models a response variable Y as the sum of an unknown regression function a(x) and an unknown dispersion function b(x) multiplied by a heavy-tailed random variable Z. It estimates a(x) and b(x) nonparametrically, estimates the tail index of Z from the residuals, and uses these to construct a plug-in estimator for extreme conditional quantiles. This approach reduces bias compared to other methods and avoids the curse of dimensionality of purely nonparametric approaches.

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    12 views5 pages

    Estimation of Extreme Quantiles From Heavy-Tailed Distributions in A Semi-Parametric Location-Dispersion Regression Model

    Uploaded by

    Aboubacrène Ag Ahmad
    This document summarizes a statistical method for estimating extreme quantiles from heavy-tailed distributions in a semi-parametric location-dispersion regression model. It models a response variable Y as the sum of an unknown regression function a(x) and an unknown dispersion function b(x) multiplied by a heavy-tailed random variable Z. It estimates a(x) and b(x) nonparametrically, estimates the tail index of Z from the residuals, and uses these to construct a plug-in estimator for extreme conditional quantiles. This approach reduces bias compared to other methods and avoids the curse of dimensionality of purely nonparametric approaches.

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    © All Rights Reserved
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    of 5

    Estimation of extreme quantiles from

    heavy-tailed distributions in a semi-parametric


    location-dispersion regression model

    Communication at the 4th ”Rencontres des jeunes


    chercheurs africains en France”
    by
    Aboubacrène Ag AHMAD(1,4)
    in collaboration with
    Stéphane GIRARD , Antoine USSEGLIO-CARLEVE(3) , Aliou
    (2)

    DIOP(4) and El Hadji DEME(4)

    (1) Universitédes Sciences, des Techniques et des Technologies de Bamako, FST.


    (2) Université
    Grenoble Alpes, Inria, CNRS, Grenoble INP, LJK.
    (3) Univ. Rennes, Ensai, CNRS, CREST - UMR 9194, F-35000 Rennes.
    (4) LERSTAD, Université Gaston Berger de Saint-Louis.

    Aboubacrène Ag AHMAD (FST, LERSTAD) Oral communication December 10, 2020 1 /5


    Motivation
    + Estimation of extreme conditional quantiles: a recurrent statistical
    problem in the modeling of extreme events in finance, insurance,
    epidemiology, environmental science, ...

    Aboubacrène Ag AHMAD (FST, LERSTAD) Oral communication December 10, 2020 2 /5


    Semi-parametric location-dispersion regression model
    Consider the following regression model between a random response
    variable Y ∈ R and a deterministic covariate vector x ∈ Π ⊂ Rd , d ≥ 1:

    Y = a(x) + b(x) Z,

    where
    a : Π → R : regression function (unknown);
    b : Π → R+ \ {0} : dispersion function (unknown);
    Z ∈ R : is a heavy-tailed random variable with tail-index γ > 0.

    Aboubacrène Ag AHMAD (FST, LERSTAD) Oral communication December 10, 2020 3 /5


    Inference

    Step 1: Estimation of the regression and dispersion functions

    + Kernel estimators of a(·) and b(·): ân and b̂n .


    Step 2: Estimation of the tail-index
    + The tail-index γ is estimated using the standard extreme
    procedures from the residuals given by:

    Ẑ i = (Yi − â n (x i ))/b̂ n (x i ), i = 1, . . . , n.

    Step 3: Estimation of extreme conditional quantiles


    + Plug-in estimator built from the residuals.

    Aboubacrène Ag AHMAD (FST, LERSTAD) Oral communication December 10, 2020 4 /5


    Advantages of the semi-parametric model
    + Reduction of bias compared to the classical estimation
    approaches by using the residuals Zi instead of the response
    variables Yi .

    + No curse of dimensionality compared to the purely


    nonparametric approaches.
    Aboubacrène Ag AHMAD (FST, LERSTAD) Oral communication December 10, 2020 5 /5

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