Estimation of distribution tails —a semiparametric approach
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Publication:3141122
DOI10.1007/BF02809405zbMATH Open0796.62027MaRDI QIDQ3141122FDOQ3141122
Claudia Klüppelberg, José A. Villaseñor
Publication date: 11 October 1994
Published in: Blätter der DGVFM (Search for Journal in Brave)
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- scientific article; zbMATH DE number 3921736
asymptotic normalityconsistencyrate of convergencesimulation resultsslowly varying functionregularly varying functionextreme value distributionslogarithmic rate of convergenceupper order statisticsasymptotic maximum likelihoodextended Pareto modelextended Weibull-modelheavy- tailed distributions
Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05)
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Cited In (21)
- Estimating tails of probability distributions
- A weighted mean excess function approach to the estimation of Weibull-type tails
- Optimal rates of convergence in the Weibull model based on kernel-type estimators
- Inference about the tail of a distribution: improvement on the Hill estimator
- On the mixtures of length-biased Weibull distributions for loss severity modeling
- Goodness-of-fit tests and applications for left-truncated Weibull distributions to non-life insurance
- Kernel regression with Weibull-type tails
- Modelling the tail of a normal distribution
- Semi-parametric tail inference through probability-weighted moments
- Goodness-of-fit testing for Weibull-type behavior
- Estimation of multivariate tail quantities
- Estimation of the Weibull tail-coefficient with linear combination of upper order statistics
- Estimation of the conditional tail moment for Weibull-type distributions
- Extreme value statistics and wind storm losses: A case study
- On a class of distributions with simple exponential tails
- Semiparametric lower bounds for tail index estimation
- Semiparametric estimation of extremes
- Robust conditional Weibull-type estimation
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- Parameter Estimation for the Tail Distribution of a Random Sequence
- On the estimation of the variability in the distribution tail
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