Pitfalls in using Weibull tailed distributions

DOI10.1016/j.jspi.2010.01.039zbMath1184.62073OpenAlexW3125645756MaRDI QIDQ963894

Alexandru V. Asimit, Liang Peng, Deyuan Li

Publication date: 14 April 2010

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

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/13131/1/JSPI-Rev1.pdf

zbMATH Keywords

regular variationhigh quantileasymptotic mean squared errorextreme tail probabilityWeibull tail coefficient

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Related Items (4)

On the estimation of the functional Weibull tail-coefficient ⋮ Optimal rates of convergence in the Weibull model based on kernel-type estimators ⋮ Estimation of conditional laws given an extreme component ⋮ Weibull tail-distributions revisited: A new look at some tail estimators

Cites Work

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• Estimating catastrophic quantile levels for heavy-tailed distributions
• A new estimation method for Weibull-type tails based on the mean excess function
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• Bias-reduced extreme quantile estimators of Weibull tail-distributions
• Estimation of the Weibull tail-coefficient with linear combination of upper order statistics
• Semiparametric lower bounds for tail index estimation
• A Hill Type Estimator of the Weibull Tail-Coefficient

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