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Article Dans Une Revue Annals of the Institute of Statistical Mathematics Année : 2015

Robust conditional Weibull-type estimation

Résumé

We study nonparametric robust tail coefficient estimation when the variable of interest, assumed to be of Weibull type, is observed simultaneously with a random covariate. In particular, we introduce a robust estimator for the tail coefficient, using the idea of the density power divergence, based on the relative excesses above a high threshold. The main asymptotic properties of our estimator are established under very general assumptions. The finite sample performance of the proposed procedure is evaluated by a small simulation experiment. The authors are very grateful to the referee for her/his very constructive comments on the paper. The suggestions have definitely improved the presentation of the material.
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Dates et versions

hal-01312924 , version 1 (11-05-2016)

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Yuri Goegebeur, Armelle Guillou, Théo Rietsch. Robust conditional Weibull-type estimation. Annals of the Institute of Statistical Mathematics, 2015, 67 (3), ⟨10.1007/s10463-014-0458-9⟩. ⟨hal-01312924⟩
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