Abstract : We present a new estimator of the Weibull tail-coefficient. The Weibull tail-coefficient is defined as the regular variation coefficient of the inverse cumulative hazard function. Our estimator is based on the log-spacings of the upper order statistics. Therefore, it is very similar to the Hill estimator for the extreme value index. We prove the weak consistency and the asymptotic normality of our estimator. Its asymptotic as well as its finite sample performances are compared to classical ones.
Type de document :
Article dans une revue
Communication in Statistics - Theory and Methods, Taylor & Francis, 2004, 33 (2), pp.205-234
https://hal.inria.fr/hal-00724602
Contributeur : Stephane Girard
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Soumis le : mardi 21 août 2012 - 17:44:48
Dernière modification le : samedi 18 novembre 2017 - 01:09:35
Document(s) archivé(s) le : jeudi 22 novembre 2012 - 02:31:26
Stéphane Girard. A HILL TYPE ESTIMATOR OF THE WEIBULL TAIL-COEFFICIENT. Communication in Statistics - Theory and Methods, Taylor & Francis, 2004, 33 (2), pp.205-234. 〈hal-00724602〉
