Comparison of Weibull tail-coefficient estimators

MaRDI QIDQ5429806zbMATH OpenFDO

Authors Laurent Gardes, Stéphane Girard

Publication date 4 December 2007

Full work available at URL https://arxiv.org/abs/1104.0764

zbMATH Keywords

asymptotic normalityextreme quantilesextreme value theoryWeibull tail-coefficient

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Estimation in survival analysis and censored data (62N02)

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Cited in

(28)

• Estimation of bivariate excess probabilities for elliptical models
• A new estimation method for Weibull-type tails based on the mean excess function
• Asymptotics for Kotz type III elliptical distributions
• Bias-reduced estimators of the Weibull tail-coefficient
• Goodness-of-fit testing for Weibull-type behavior
• On discrimination between classes of distribution tails
• A Beran-inspired estimator for the Weibull-type tail coefficient
• On the estimation of the Weibull tail coefficient
• Bias-reduced extreme quantile estimators of Weibull tail-distributions
• Estimation of the Weibull tail-coefficient with linear combination of upper order statistics
• A weighted mean excess function approach to the estimation of Weibull-type tails
• On the estimation of the functional Weibull tail-coefficient
• A Hill Type Estimator of the Weibull Tail-Coefficient
• Approximation of high quantiles from intermediate quantiles
• scientific article; zbMATH DE number 29187 (Why is no real title available?)
• Optimal rates of convergence in the Weibull model based on kernel-type estimators
• Estimation of extreme quantiles from heavy and light tailed distributions
• Estimating Extreme Quantiles of Weibull Tail Distributions
• Comparison of estimation methods for the Weibull distribution
• Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution
• Improvements in the estimation of the Weibull tail coefficient: a comparative study
• A refined extreme quantile estimator for Weibull tail-distributions
• Location- and scale-free procedures for distinguishing between distribution tail models
• Weibull tail-distributions revisited: A new look at some tail estimators
• Estimation of conditional laws given an extreme component
• Pitfalls in using Weibull tailed distributions
• On the residual dependence index of elliptical distributions
• Tail asymptotics under beta random scaling

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