Robust Estimations for the Tail Index of Weibull-Type Distribution

Chengping Gong and Chengxiu Ling
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Chengping Gong: School of Mathematics and Statistics, Southwest University, Chongqing 400715, China
Chengxiu Ling: School of Mathematics and Statistics, Southwest University, Chongqing 400715, China

Risks, 2018, vol. 6, issue 4, 1-15

Abstract: Based on suitable left-truncated or censored data, two flexible classes of M -estimations of Weibull tail coefficient are proposed with two additional parameters bounding the impact of extreme contamination. Asymptotic normality with n -rate of convergence is obtained. Its robustness is discussed via its asymptotic relative efficiency and influence function. It is further demonstrated by a small scale of simulations and an empirical study on CRIX.

Keywords: robust; Weibull tail coefficient; influence function; asymptotic relative efficiency; CRIX (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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