Robust Estimations for the Tail Index of Weibull-Type Distribution

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Etat: Public
Version: Final published version
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ID Serval
serval:BIB_BFA77BD6EABE
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Robust Estimations for the Tail Index of Weibull-Type Distribution
Périodique
Risks
Auteur⸱e⸱s
Gong Chengping, Ling Chengxiu
ISSN
2227-9091
Statut éditorial
Publié
Date de publication
11/10/2018
Pages
15
Langue
anglais
Résumé
Based on suitable left-truncated or censored data, two flexible classes of M-estimations of
Weibull tail coefficient are proposed with two additional parameters bounding the impact of extreme
contamination. Asymptotic normality with $\sqrt{n}$ -rate of convergence is obtained. Its robustness is
discussed via its asymptotic relative efficiency and influence function. It is further demonstrated by
a small scale of simulations and an empirical study on CRIX.
Mots-clé
robust, Weibull tail coefficient, influence function, asymptotic relative efficiency, CRIX
Open Access
Oui
Création de la notice
12/10/2018 0:13
Dernière modification de la notice
20/08/2019 16:34
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