On the estimation of the functional Weibull tail-coefficient - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2014

On the estimation of the functional Weibull tail-coefficient

Résumé

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.
Fichier principal
Vignette du fichier
revisionWT.pdf (272.41 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)

Dates et versions

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

Identifiants

  • HAL Id : hal-01063569 , version 2

Citer

Laurent Gardes, Stéphane Girard. On the estimation of the functional Weibull tail-coefficient. 2014. ⟨hal-01063569v2⟩
459 Consultations
393 Téléchargements

Partager

More