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Tail index varying coefficient model
Authors:Yaolan Ma  Yuexiang Jiang
Institution:1. School of Mathematical Sciences, Zhejiang University, Hangzhou, China;2. College of Economics, Zhejiang University, Hangzhou, China
Abstract:This paper deals with a new class of tail index varying coefficient models with the random covariate under Pareto-type distributions. To estimate the unknown coefficient functions, we develop an estimation procedure via a local polynomial maximum likelihood techniques. The asymptotic normality of the estimated coefficient functions under some mild regularity conditions are established. Two numerical examples and one application are used to illustrate the performance of the proposed procedure.
Keywords:Asymptotic normality  Local polynomial fitting  Pareto-type distributions  Tail index  Varying coefficient model  
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