A Hill Type Estimator of the Weibull Tail-Coefficient

DOI10.1081/STA-120028371zbMath1066.62052OpenAlexW2025397386MaRDI QIDQ3155256

Stéphane Girard

Publication date: 14 January 2005

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-120028371

Mathematics Subject Classification ID

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

Related Items (27)

On the estimation of the functional Weibull tail-coefficient ⋮ Kernel regression with Weibull-type tails ⋮ Weighted moment estimators for the second order scale parameter ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ Reduced bias estimation of the shape parameter of the log-logistic distribution ⋮ Optimal rates of convergence in the Weibull model based on kernel-type estimators ⋮ A new class of distributions on the whole real line based on the continuous iteration approach ⋮ Tail index partition-based rules extraction with application to tornado damage insurance ⋮ Estimation of extreme quantiles from heavy and light tailed distributions ⋮ Extremal linear quantile regression with Weibull-type tails ⋮ Bias-reduced extreme quantile estimators of Weibull tail-distributions ⋮ Estimation of the Weibull tail-coefficient with linear combination of upper order statistics ⋮ Pitfalls in using Weibull tailed distributions ⋮ Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels ⋮ On the residual dependence index of elliptical distributions ⋮ Weibull tail-distributions revisited: A new look at some tail estimators ⋮ Goodness-of-fit testing for Weibull-type behavior ⋮ Estimating Extreme Quantiles of Weibull Tail Distributions ⋮ Estimation of extremes for Weibull-tail distributions in the presence of random censoring ⋮ Generalized Kernel Estimators for the Weibull-Tail Coefficient ⋮ Estimation of bivariate excess probabilities for elliptical models ⋮ A new estimation method for Weibull-type tails based on the mean excess function ⋮ Bias-reduced estimators of the Weibull tail-coefficient ⋮ Asymptotics for the Hirsch Index ⋮ 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

Cites Work

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• Approximate distributions of order statistics. With applications to nonparametric statistics
• Modeling large claims in non-life insurance
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• The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
• Tail index estimation and an exponential regression model
• The mean residual life function at great age: Applications to tail estimation
• On the estimation of the Weibull tail coefficient
• A Diagnostic for Selecting the Threshold in Extreme Value Analysis
• Moment estimators for the 3-parameter Weibull distribution

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