On the estimation of the functional Weibull tail-coefficient

DOI10.1016/J.JMVA.2015.05.007zbMATH Open1334.62094OpenAlexW211832106MaRDI QIDQ268722FDOQ268722

Authors: Laurent Gardes, Stéphane Girard 

Publication date: 15 April 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.05.007

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zbMATH Keywords

nonparametric estimationextreme quantilesconditional Weibull tail-coefficient

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

Cites Work

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Cited In (14)

• A weighted mean excess function approach to the estimation of Weibull-type tails
• Nonparametric confidence intervals for conditional quantiles with large-dimensional covariates
• Extremal linear quantile regression with Weibull-type tails
• Tail dimension reduction for extreme quantile estimation
• Kernel regression with Weibull-type tails
• Estimation of the Weibull tail-coefficient with linear combination of upper order statistics
• Extreme value estimation of the conditional risk premium in reinsurance
• Estimation of marginal excess moments for Weibull-type distributions
• Estimation of the conditional tail moment for Weibull-type distributions
• An introduction to recent advances in high/infinite dimensional statistics
• Generalized Kernel Estimators for the Weibull-Tail Coefficient
• Nonparametric estimation of extreme conditional quantiles with functional covariate
• Robust conditional Weibull-type estimation
• Nonparametric modelling for functional data: selected survey and tracks for future

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