Estimation of the Weibull tail-coefficient with linear combination of upper order statistics

DOI10.1016/j.jspi.2007.04.026zbMath1133.62035arXiv1103.5894OpenAlexW2063174483MaRDI QIDQ2475773

Laurent Gardes, Stéphane Girard

Publication date: 11 March 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1103.5894

zbMATH Keywords

order statisticsregular variationsWeibull tail-coefficientextreme-valuesHill-type estimator

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Estimation in survival analysis and censored data (62N02) Reliability and life testing (62N05)

Related Items (16)

On the estimation of the functional Weibull tail-coefficient ⋮ Kernel regression with Weibull-type tails ⋮ Unnamed Item ⋮ Asymptotic behavior of the extrapolation error associated with the estimation of extreme quantiles ⋮ Estimation of extreme quantiles from heavy and light tailed distributions ⋮ Extremal linear quantile regression with Weibull-type tails ⋮ Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence ⋮ A moving window approach for nonparametric estimation of the conditional tail index ⋮ Pitfalls in using Weibull tailed distributions ⋮ Weibull tail-distributions revisited: A new look at some tail estimators ⋮ Generalized Kernel Estimators for the Weibull-Tail Coefficient ⋮ Nonparametric confidence intervals for conditional quantiles with large-dimensional covariates ⋮ A new estimation method for Weibull-type tails based on the mean excess function ⋮ A Beran-inspired estimator for the Weibull-type tail coefficient ⋮ Robust conditional Weibull-type estimation ⋮ A weighted mean excess function approach to the estimation of Weibull-type tails

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