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Generalized Kernel Estimators for the Weibull-Tail Coefficient.
- Source :
-
Communications in Statistics: Theory & Methods . Dec2010, Vol. 39 Issue 20, p3695-3716. 22p. 11 Graphs. - Publication Year :
- 2010
-
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]
Details
- Language :
- English
- ISSN :
- 03610926
- Volume :
- 39
- Issue :
- 20
- Database :
- Academic Search Index
- Journal :
- Communications in Statistics: Theory & Methods
- Publication Type :
- Academic Journal
- Accession number :
- 53921511
- Full Text :
- https://doi.org/10.1080/03610920903324882