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Journal Articles Journal of Multivariate Analysis Year : 2016

On the estimation of the functional Weibull tail-coefficient

Abstract

We present a nonparametric family of estimators for the tail index of a Weibull tail-distribution when functional covariate is available. Our estimators are based on a kernel estimator of extreme conditional quantiles. Asymptotic normality of the estimators is proved under mild regularity conditions. Their finite sample performances are illustrated both on simulated and real data.
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Dates and versions

hal-01063569 , version 1 (15-09-2014)
hal-01063569 , version 2 (16-03-2015)
hal-01063569 , version 3 (06-05-2015)

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Laurent Gardes, Stéphane Girard. On the estimation of the functional Weibull tail-coefficient. Journal of Multivariate Analysis, 2016, Special Issue on Statistical Models and Methods for High or Infinite Dimensional Spaces, 146 (C), pp.29--45. ⟨10.1016/j.jmva.2015.05.007⟩. ⟨hal-01063569v3⟩
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