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Publication Details
AFRICAN RESEARCH NEXUS
SHINING A SPOTLIGHT ON AFRICAN RESEARCH
mathematics
Generalized kernel estimators for the Weibull-tail coefficient
Communications in Statistics - Theory and Methods, Volume 39, No. 20, Year 2010
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Description
We introduce new families of estimators for the Weibull-tail coefficient, obtained from a weighted sum of a power transformation of excesses over a high random threshold. Asymptotic normality of the estimators is proven for an intermediate sequence of upper order statistics, and under classical regularity conditions for L-statistics and a second-order condition on the tail behavior of the underlying distribution. The small sample performance of two specific examples of kernel functions is evaluated in a simulation study. Copyright © Taylor & Francis Group, LLC.
Authors & Co-Authors
Goegebeur, Yuri
Denmark, Odense
Syddansk Universitet
Beirlant, Jan
Belgium, Heverlee
Leuven Statistics Research Centre
de Wet, Tertius
South Africa, Stellenbosch
Stellenbosch University
Statistics
Citations: 35
Authors: 3
Affiliations: 3
Identifiers
Doi:
10.1080/03610920903324882
ISSN:
03610926
e-ISSN:
1532415X