Estimation of the Weibull tail-coefficient with linear combination of upper order statistics

DOI10.1016/J.JSPI.2007.04.026MaRDI QIDQ2475773zbMATH OpenOpenAlexFDO

Authors Laurent Gardes, Stéphane Girard

Publication date 11 March 2008

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

Full work available at URL https://arxiv.org/abs/1103.5894

zbMATH Keywords

order statisticsregular variationsWeibull tail-coefficientextreme-valuesHill-type estimator

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Estimation in survival analysis and censored data (62N02) Reliability and life testing (62N05) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)

Abstract: We present a new family of estimators of the Weibull tail-coefficient. The Weibull tail-coefficient is defined as the regular variation coefficient of the inverse failure rate function. Our estimators are based on a linear combination of log-spacings of the upper order statistics. Their asymptotic normality is established and illustrated for two particular cases of estimators in this family. Their finite sample performances are presented on a simulation study.

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Cited in

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• Nonparametric confidence intervals for conditional quantiles with large-dimensional covariates
• Improvements in the estimation of the Weibull tail coefficient: a comparative study
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• A Hill Type Estimator of the Weibull Tail-Coefficient
• Robust conditional Weibull-type estimation
• scientific article; zbMATH DE number 7148146 (Why is no real title available?)
• Asymptotic behavior of the extrapolation error associated with the estimation of extreme quantiles

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