Estimation of the functional Weibull tail-coefficient
Abstract
We present a nonparametric family of estimators for the tail coefficient of a Weibull tail-distribution when a functional covariate is available. Our estimators are based on a kernel estimator of extreme conditional quantiles, extending a previous work to the infinite dimensional case. 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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