Robust Estimations for the Tail Index of Weibull-Type Distribution
Details
State: Public
Version: Final published version
License: Not specified
Serval ID
serval:BIB_BFA77BD6EABE
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Robust Estimations for the Tail Index of Weibull-Type Distribution
Journal
Risks
ISSN
2227-9091
Publication state
Published
Issued date
11/10/2018
Pages
15
Language
english
Abstract
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.
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.
Keywords
robust, Weibull tail coefficient, influence function, asymptotic relative efficiency, CRIX
Open Access
Yes
Create date
11/10/2018 23:13
Last modification date
20/08/2019 15:34
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