1. Generalized Kernel Estimators for the Weibull-Tail Coefficient.
- Author
-
Goegebeur, Yuri, Beirlant, Jan, and De Wet, Tertius
- Subjects
NONPARAMETRIC statistics ,KERNEL functions ,MATHEMATICAL statistics ,STATISTICAL research ,WEIBULL distribution - Abstract
We introduce new families of estimators for the Weibull-tail coefficient, obtained from a weighted sum of a power transformation of excesses over a high random threshold. Asymptotic normality of the estimators is proven for an intermediate sequence of upper order statistics, and under classical regularity conditions for L-statistics and a second-order condition on the tail behavior of the underlying distribution. The small sample performance of two specific examples of kernel functions is evaluated in a simulation study. [ABSTRACT FROM AUTHOR]
- Published
- 2010
- Full Text
- View/download PDF