Daisuke Kurisu and Taisuke Otsu

Published 14 September 2021

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This paper studies asymptotic properties of the local linear quantile estimator under the extremal order quantile asymptotics, and develops a practical inference method for conditional quantiles in extreme tail areas. By using a point process technique, the asymptotic distribution of the local linear quantile estimator is derived as a minimizer of certain functional of a Poisson point process that involves nuisance parameters. To circumvent difficulty of estimating those nuisance parameters, we propose a subsampling inference method for conditional extreme quantiles based on a self-normalized version of the local linear estimator. A simulation study illustrates usefulness of our subsampling inference to investigate extremal phenomena.