Alemany, Ramon; Bolancé, Catalina; Guillén, Montserrat - Xarxa de Referència en Economia Aplicada (XREAP) - 2012
A method to estimate an extreme quantile that requires no distributional assumptions is presented. The approach is based on transformed kernel estimation of the cumulative distribution function (cdf). The proposed method consists of a double transformation kernel estimation. We derive optimal...
