Beirlant, Jan; Goegebeur, Yuri - In: Journal of Multivariate Analysis 89 (2004) 1, pp. 97-118
We discuss the estimation of the tail index of a heavy-tailed distribution when covariate information is available. The approach followed here is based on the technique of local polynomial maximum likelihood estimation. The generalized Pareto distribution is fitted locally to exceedances over a...