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Estimation of the functional Weibull tail-coefficient

Stéphane Girard 1 Laurent Gardes 2
1 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 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.
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https://hal.archives-ouvertes.fr/hal-01571990
Contributor : Stephane Girard <>
Submitted on : Friday, August 4, 2017 - 11:16:52 AM
Last modification on : Thursday, March 26, 2020 - 8:49:32 PM

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  • HAL Id : hal-01571990, version 1

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

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