Robust conditional Weibull-type estimation

Yuri Goegebeur (), Armelle Guillou () and Théo Rietsch ()

Annals of the Institute of Statistical Mathematics, 2015, vol. 67, issue 3, 479-514

Abstract: We study nonparametric robust tail coefficient estimation when the variable of interest, assumed to be of Weibull type, is observed simultaneously with a random covariate. In particular, we introduce a robust estimator for the tail coefficient, using the idea of the density power divergence, based on the relative excesses above a high threshold. The main asymptotic properties of our estimator are established under very general assumptions. The finite sample performance of the proposed procedure is evaluated by a small simulation experiment. Copyright The Institute of Statistical Mathematics, Tokyo 2015

Keywords: Weibull-type distribution; Tail coefficient; Density power divergence; Local estimation (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10463-014-0458-9

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