On the estimation of the functional Weibull tail-coefficient

Laurent Gardes 1 Stephane Girard 2
2 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, INPG - Institut National Polytechnique de Grenoble
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.
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Laurent Gardes, Stephane Girard. On the estimation of the functional Weibull tail-coefficient. Journal of Multivariate Analysis, Elsevier, 2016, Special Issue on Statistical Models and Methods for High or Infinite Dimensional Spaces, 146 (C), pp.29--45. ⟨10.1016/j.jmva.2015.05.007⟩. ⟨hal-01063569v3⟩

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