Tail index varying coefficient model

Abstract

ABSTRACTThis 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.