Estimation des quantiles d'une probabilité de franchissement de seuils avec observations dépendantes

Abstract

In a nonparametric regression model with a monotone regression function and an error, we define a conditional probability of threshold crossing and its quantiles, and present the asymptotic properties of their estimators for dependent observations. To cite this article: C. Pinçon, O. Pons, C. R. Acad. Sci. Paris, Ser. I 344 (2007).