A weighted mean excess function approach to the estimation of Weibull-type tails

DOI10.1007/s11749-010-0190-6zbMath1331.62260OpenAlexW2055169026MaRDI QIDQ261473

Yuri Goegebeur, Armelle Guillou

Publication date: 23 March 2016

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-010-0190-6

zbMATH Keywords

bias reductionmean excess functionWeibull-tail coefficientWeibull-type distribution

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items

Kernel regression with Weibull-type tails ⋮ Extremal linear quantile regression with Weibull-type tails ⋮ Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence ⋮ Robust conditional Weibull-type estimation

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A new estimation method for Weibull-type tails based on the mean excess function
• Bias-reduced estimators of the Weibull tail-coefficient
• Kernel estimates of the tail index of a distribution
• Asymptotic normality of linear combinations of order statistics with a smooth score function
• On exponential representations of log-spacings of extreme order statistics
• The mean residual life function at great age: Applications to tail estimation
• Goodness-of-fit testing for Weibull-type behavior
• On the estimation of the Weibull tail coefficient
• Estimation of the Weibull tail-coefficient with linear combination of upper order statistics
• Generalized Kernel Estimators for the Weibull-Tail Coefficient
• Estimation of distribution tails —a semiparametric approach
• A Hill Type Estimator of the Weibull Tail-Coefficient
• On Smooth Statistical Tail Functionals
• Estimating Extreme Quantiles of Weibull Tail Distributions
• Statistics of Extremes
• Asymptotic Distribution of Linear Combinations of Functions of Order Statistics with Applications to Estimation
• On the theory of order statistics