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

DOI10.1016/j.jspi.2007.04.026zbMath1133.62035arXiv1103.5894MaRDI QIDQ2475773

Stéphane Girard, Laurent Gardes

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 statistics; regular variations; Weibull tail-coefficient; extreme-values; Hill-type estimator

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62G30: Order statistics; empirical distribution functions

62G32: Statistics of extreme values; tail inference

62N02: Estimation in survival analysis and censored data

62N05: Reliability and life testing

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Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence, Estimation of extreme quantiles from heavy and light tailed distributions, Weibull tail-distributions revisited: A new look at some tail estimators, A moving window approach for nonparametric estimation of the conditional tail index, Pitfalls in using Weibull tailed distributions, A new estimation method for Weibull-type tails based on the mean excess function, Generalized Kernel Estimators for the Weibull-Tail Coefficient

Cites Work

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