On the estimation of the functional Weibull tail-coefficient

被引：11

作者：

Gardes, Laurent ^{[1
,2
]}

Girard, Stephane ^{[3
,4
]}

机构：

[1] Univ Strasbourg, 7 Rue Rene Descartes, F-67084 Strasbourg, France

[2] CNRS, IRMA, UMR 7501, 7 Rue Rene Descartes, F-67084 Strasbourg, France

[3] Inria Grenoble Rhone Alpes, Inovallee,655,Ave Europe, F-38334 Montbonnot St Martin, St Ismier, France

[4] LJK, Team Mistis, Inovallee,655,Ave Europe, F-38334 Montbonnot St Martin, St Ismier, France

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2016年 / 146卷

关键词：

Conditional Weibull tail-coefficient; Extreme quartiles; Nonparametric estimation; NONPARAMETRIC REGRESSION;

D O I：

10.1016/j.jmva.2015.05.007

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We present a nonparametric family of estimators for the tail index of a Weibull tail distribution when functional covariate is available. Our estimators are based on a kernel estimator of extreme conditional quantiles. Asymptotic normality of the estimators is proved under mild regularity conditions. Their finite sample performances are illustrated both on simulated and real data. (C) 2015 Elsevier Inc. All rights reserved.

引用

页码：29 / 45

页数：17

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