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Publication Details
AFRICAN RESEARCH NEXUS
SHINING A SPOTLIGHT ON AFRICAN RESEARCH
decision sciences
A new estimation method for Weibull-type tails based on the mean excess function
Journal of Statistical Planning and Inference, Volume 139, No. 6, Year 2009
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Description
Studying the right tail of a distribution, one can classify the distributions into three classes based on the extreme value index γ. The class γ > 0 corresponds to Pareto-type or heavy tailed distributions, while γ < 0 indicates that the underlying distribution has a finite endpoint. The Weibull-type distributions form an important subgroup within the Gumbel class with γ = 0. The tail behaviour can then be specified using the Weibull tail index. Classical estimators of this index show severe bias. In this paper we present a new estimation approach based on the mean excess function, which exhibits improved bias and mean squared error. The asserted properties are supported by simulation experiments and asymptotic results. Illustrations with real life data sets are provided. © 2008 Elsevier B.V. All rights reserved.
Authors & Co-Authors
Dierckx, G.
Belgium, Heverlee
Leuven Statistics Research Centre
Belgium, Brussels
Hogeschool-universiteit Brussel
Beirlant, Jan
Belgium, Heverlee
Leuven Statistics Research Centre
de Waal, Daniel J.
South Africa, Bloemfontein
University of the Free State
Guillou, Armelle
France, Strasbourg
Institut de Recherche Mathématique Avancée
Statistics
Citations: 39
Authors: 4
Affiliations: 4
Identifiers
Doi:
10.1016/j.jspi.2008.08.024
ISSN:
03783758