On the estimation of the functional Weibull tail-coefficient

DOI10.1016/j.jmva.2015.05.007zbMath1334.62094OpenAlexW211832106MaRDI QIDQ268722

Laurent Gardes, Stéphane Girard

Publication date: 15 April 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.05.007

zbMATH Keywords

nonparametric estimationconditional Weibull tail-coefficientextreme quantiles

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (7)

An introduction to recent advances in high/infinite dimensional statistics ⋮ Nonparametric estimation of extreme conditional quantiles with functional covariate ⋮ Extreme value estimation of the conditional risk premium in reinsurance ⋮ Nonparametric modelling for functional data: selected survey and tracks for future ⋮ Extremal linear quantile regression with Weibull-type tails ⋮ Tail dimension reduction for extreme quantile estimation ⋮ Nonparametric confidence intervals for conditional quantiles with large-dimensional covariates

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