On the estimation of the functional Weibull tail-coefficient

Laurent Gardes and Stéphane Girard

Journal of Multivariate Analysis, 2016, vol. 146, issue C, 29-45

Abstract: 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.

Keywords: Conditional Weibull tail-coefficient; Extreme quantiles; Nonparametric estimation (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.jmva.2015.05.007

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