Estimation of the functional Weibull tail-coefficient

Stéphane Girard (1) , Laurent Gardes (2)

1 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
2 IRMA - Institut de Recherche Mathématique Avancée

We present a nonparametric family of estimators for the tail coefficient of a Weibull tail-distribution when a functional covariate is available. Our estimators are based on a kernel estimator of extreme conditional quantiles, extending a previous work to the infinite dimensional case. Asymptotic normality of the estimators is proved under mild regularity conditions. Their finite sample performances are illustrated both on simulated and real data.

Mots clés: Conditional Weibull tail-coefficient; Extreme quantiles; Nonparametric estimation

Domaines: Statistiques [math.ST]

Stéphane Girard, Laurent Gardes. Estimation of the functional Weibull tail-coefficient. 10th International Conference on Extreme Value Analysis, Jun 2017, Delft, Netherlands. ⟨hal-01571990⟩