An estimator for the tail index of an integrated conditional Pareto–Weibull-type model

Yuri Goegebeur, Armelle Guillou and Michael Osmann

Statistics & Probability Letters, 2015, vol. 103, issue C, 8-16

Abstract: We introduce a nonparametric regression estimator for a tail heaviness parameter in an integrated conditional Pareto–Weibull-type model. The estimator is based on local log excesses over a high random threshold. Asymptotic properties are derived under proper regularity conditions.

Keywords: Extremes; Local estimation; Regression; Tail index (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2015.04.008

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