Estimation of distribution tails —a semiparametric approach

DOI10.1007/BF02809405zbMath0796.62027MaRDI QIDQ3141122

Claudia Klüppelberg, José A. Villaseñor

Publication date: 11 October 1994

Published in: Blätter der DGVFM (Search for Journal in Brave)

zbMATH Keywords

rate of convergenceconsistencyasymptotic normalityextreme value distributionssimulation resultsslowly varying functionregularly varying functionlogarithmic rate of convergenceupper order statisticsasymptotic maximum likelihoodextended Pareto modelextended Weibull-modelheavy- tailed distributions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Point estimation (62F10)

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Extreme value statistics and wind storm losses: A case study ⋮ On the mixtures of length-biased Weibull distributions for loss severity modeling ⋮ Kernel regression with Weibull-type tails ⋮ Optimal rates of convergence in the Weibull model based on kernel-type estimators ⋮ Estimation of the Weibull tail-coefficient with linear combination of upper order statistics ⋮ Goodness-of-fit testing for Weibull-type behavior ⋮ Semiparametric lower bounds for tail index estimation ⋮ Robust conditional Weibull-type estimation ⋮ Goodness-of-fit tests and applications for left-truncated Weibull distributions to non-life insurance ⋮ A weighted mean excess function approach to the estimation of Weibull-type tails

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