A weighted mean excess function approach to the estimation of Weibull-type tails |
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Authors: | Yuri Goegebeur Armelle Guillou |
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Affiliation: | 1.Department of Mathematics and Computer Science,University of Southern Denmark,Odense M,Denmark;2.Institut Recherche Mathématique Avancée, UMR 7501,Université de Strasbourg et CNRS,Strasbourg cedex,France |
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Abstract: | A new class of estimators for the Weibull-tail coefficient is proposed. The estimators are based on linear combinations of
log-spacings of the mean excess function evaluated at high levels. The asymptotic distribution of this new class of estimators
is derived under some mild conditions on the weight function and a second order condition on the tail behavior. The finite
sample properties of some estimators obtained with important special cases of the weight function are examined with a small
simulation experiment. |
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Keywords: | |
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