Comparison of Weibull tail-coefficient estimators
By Laurent Gardes, Stéphane Girard. 2011
55 citations recorded by the source corpus.
We address the problem of estimating the Weibull tail-coefficient which is the regular variation exponent of the inverse failure rate function. We propose a family of estimators of this coefficient and an associate extreme quantile estimator. Their asymptotic normality are established and their asymptotic mean-square errors are compared. The results are illustrated on some finite sample situations
View Paper: https://www.semanticscholar.org/paper/a5569daf55d06fd144689ec2add092c81207ab7a
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- Armelle Guillou
- Evarist Gin'e
- Jan Beirlant
- Stéphane Girard
- R. Deidda
- Frederico Caeiro
- M. Ivette Gomes
- Yen-Chi Chen
Citations in the corpus
- Weibull tail-distributions revisited: a new look at some tail estimators (2011, background): “Indeed, in finite sample situations, condition (8) does not hold and the empirical mean-squared error is a convex function of kn, see for instance [22].”
- Estimation of the Weibull tail-coefficient with linear combination of upper order statistics (2008, unknown): “∗Corresponding author”