In this paper, we provide finite sample results to assess the consistency of Generalized Pareto regression trees, as tools to perform extreme value regression. The results that we provide are obtained from concentration inequalities, and are valid for a finite sample size, taking into account a misspecification bias that arises from the use of a "Peaks over Threshold" approach. The properties that we derive also legitimate the pruning strategies (i.e. the model selection rules) used to select a proper tree that achieves compromise between bias and variance. The methodology is illustrated through a simulation study, and a real data application in insurance against natural disasters.
翻译:在本文中,我们提供了有限的样本结果,以评估通用的帕雷托回归树作为进行极端价值回归的工具的一致性。我们提供的结果来自浓度不平等,并且对有限的样本规模有效,同时考虑到使用“比阈值高”的方法所产生的偏差。我们得出的特性也证明用于选择在偏差和差异之间达成妥协的适当树的修剪战略(即示范选择规则)是合法的。该方法通过模拟研究和自然灾害保险中的实际数据应用加以说明。