An estimator for the tail index of an integrated conditional Pareto-Weibull-type model

DOI10.1016/J.SPL.2015.04.008MaRDI QIDQ893950zbMATH OpenOpenAlexFDO

Authors Yuri Goegebeur, Armelle Guillou, Michael Osmann

Publication date 23 November 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2015.04.008

zbMATH Keywords

regressionextremestail indexlocal estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

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Cites work

• A moment estimator for the conditional extreme-value index
• Kernel regression with Weibull-type tails
• Nonparametric regression estimation of conditional tails: the random covariate case
• Weibull tail-distributions revisited: A new look at some tail estimators

Cited in

(3)

• A nonparametric estimator for the conditional tail index of Pareto-type distributions
• TEMPERED PARETO-TYPE MODELLING USING WEIBULL DISTRIBUTIONS
• Local robust and asymptotically unbiased estimation of conditional Pareto-type tails

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