An estimator for the tail index of an integrated conditional Pareto-Weibull-type model

Y. Goegebeur; A. Guillou; M. Osmann

doi:10.1016/j.spl.2015.04.008

An estimator for the tail index of an integrated conditional Pareto-Weibull-type model

Y. Goegebeur, A. Guillou, M. Osmann

Department of Mathematics and Computer Science

Research output: Contribution to journal › Journal article › Research › peer-review

Abstract

We introduce a nonparametric regression estimator for a tail heaviness parameter in an integrated conditional Pareto-Weibull-type model. The estimator is based on local log excesses over a high random threshold. Asymptotic properties are derived under proper regularity conditions.

Original language	English
Journal	Statistics & Probability Letters
Volume	103
Pages (from-to)	8-16
ISSN	0167-7152
DOIs	https://doi.org/10.1016/j.spl.2015.04.008
Publication status	Published - 2015

Keywords

Extremes
Local estimation
Regression
Tail index

Documents & Links

10.1016/j.spl.2015.04.008

https://hal.archives-ouvertes.fr/hal-01312904/document

Cite this

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title = "An estimator for the tail index of an integrated conditional Pareto-Weibull-type model",

abstract = "We introduce a nonparametric regression estimator for a tail heaviness parameter in an integrated conditional Pareto-Weibull-type model. The estimator is based on local log excesses over a high random threshold. Asymptotic properties are derived under proper regularity conditions.",

keywords = "Extremes, Local estimation, Regression, Tail index",

author = "Y. Goegebeur and A. Guillou and M. Osmann",

year = "2015",

doi = "10.1016/j.spl.2015.04.008",

language = "English",

volume = "103",

pages = "8--16",

journal = "Statistics & Probability Letters",

issn = "0167-7152",

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TY - JOUR

T1 - An estimator for the tail index of an integrated conditional Pareto-Weibull-type model

AU - Goegebeur, Y.

AU - Guillou, A.

AU - Osmann, M.

PY - 2015

Y1 - 2015

N2 - We introduce a nonparametric regression estimator for a tail heaviness parameter in an integrated conditional Pareto-Weibull-type model. The estimator is based on local log excesses over a high random threshold. Asymptotic properties are derived under proper regularity conditions.

AB - We introduce a nonparametric regression estimator for a tail heaviness parameter in an integrated conditional Pareto-Weibull-type model. The estimator is based on local log excesses over a high random threshold. Asymptotic properties are derived under proper regularity conditions.

KW - Extremes

KW - Local estimation

KW - Regression

KW - Tail index

U2 - 10.1016/j.spl.2015.04.008

DO - 10.1016/j.spl.2015.04.008

M3 - Journal article

SN - 0167-7152

VL - 103

SP - 8

EP - 16

JO - Statistics & Probability Letters

JF - Statistics & Probability Letters

ER -

An estimator for the tail index of an integrated conditional Pareto-Weibull-type model

Abstract

Keywords

Documents & Links

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Cite this