A weighted mean excess function approach to the estimation of Weibull-type tails

• Autores: Yuri Goegebeur, Armelle Guillou
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 20, Nº. 1, 2011, págs. 138-162
• Idioma: inglés
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• Resumen

  • A new class of estimators for the Weibull-tail coefficient is proposed. The estimators are based on linear combinations of log-spacings of the mean excess function evaluated at high levels. The asymptotic distribution of this new class of estimators is derived under some mild conditions on the weight function and a second order condition on the tail behavior. The finite sample properties of some estimators obtained with important special cases of the weight function are examined with a small simulation experiment.