hal-00340661, version 4
Weibull tail-distributions revisited: a new look at some tail estimators
(07/12/2009)
Résumé : In this paper, we propose to include Weibull tail-distributions in a more general family of distributions. In particular, the considered model also encompasses the whole Fréchet maximum domain of attraction as well as log-Weibull tail-distributions. The asymptotic normality of some tail estimators based on the log-spacings between the largest order statistics is established in an unified way within the considered family. This result permits to understand the similarity between most estimators of the Weibull tail-coefficient and the Hill estimator. Some different asymptotic properties, in terms of bias, rate of convergence, are also highlighted.
- 1 :
- INRIA – Laboratoire Jean Kuntzmann
- 2 :
- CNRS : UMR7501 – Université de Strasbourg
- Domaine : Statistiques/Théorie
Mathématiques/Statistiques - Mots-clés : Distribution tail – extreme quantile – maximum domain of attraction – asymptotic normality
- Versions disponibles : v1 (21-11-2008) v2 (07-12-2009) v3 (20-05-2010) v4 (14-06-2010)
- hal-00340661, version 4
- http://hal.archives-ouvertes.fr/hal-00340661
- oai:hal.archives-ouvertes.fr:hal-00340661
- Contributeur :
- Soumis le : Lundi 14 Juin 2010, 13:51:08
- Dernière modification le : Lundi 14 Juin 2010, 14:42:25
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