A Hill Type Estimator of the Weibull Tail-Coefficient

DOI10.1081/STA-120028371zbMATH Open1066.62052OpenAlexW2025397386MaRDI QIDQ3155256FDOQ3155256

Publication date: 14 January 2005

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-120028371

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Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)

Cites Work

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A simple general approach to inference about the tail of a distribution
The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
Tail index estimation and an exponential regression model
A diagnostic for selecting the threshold in extreme value analysis
The mean residual life function at great age: Applications to tail estimation
On the estimation of the Weibull tail coefficient
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Approximate distributions of order statistics. With applications to nonparametric statistics
Modeling large claims in non-life insurance
On asymptotic normality of Hill's estimator for the exponent of regular variation
Moment estimators for the 3-parameter Weibull distribution

Cited In (31)

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A weighted mean excess function approach to the estimation of Weibull-type tails
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Extremal linear quantile regression with Weibull-type tails
On the residual dependence index of elliptical distributions
Weibull tail-distributions revisited: A new look at some tail estimators
Optimal rates of convergence in the Weibull model based on kernel-type estimators
Bias-reduced estimators of the Weibull tail-coefficient
Pitfalls in using Weibull tailed distributions
A new class of distributions on the whole real line based on the continuous iteration approach
Tail index partition-based rules extraction with application to tornado damage insurance
Comparison of Weibull tail-coefficient estimators
Estimation of extreme quantiles from heavy and light tailed distributions
Kernel regression with Weibull-type tails
Goodness-of-fit testing for Weibull-type behavior
Estimation of extremes for Weibull-tail distributions in the presence of random censoring
Reduced bias estimation of the shape parameter of the log-logistic distribution
A Beran-inspired estimator for the Weibull-type tail coefficient
Bias-reduced extreme quantile estimators of Weibull tail-distributions
Estimation of the Weibull tail-coefficient with linear combination of upper order statistics
Extreme Value Theory and Statistics of Univariate Extremes: A Review
Weighted moment estimators for the second order scale parameter
Estimation of marginal excess moments for Weibull-type distributions
Estimation of the conditional tail moment for Weibull-type distributions
Generalized Kernel Estimators for the Weibull-Tail Coefficient
Robust conditional Weibull-type estimation
Estimation of bivariate excess probabilities for elliptical models
Asymptotics for the Hirsch index
Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
Estimating Extreme Quantiles of Weibull Tail Distributions

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