Saved in:
| Main Authors: | , |
|---|---|
| Format: | Preprint |
| Published: |
2011
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/1104.0764 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Table of Contents:
- We address the problem of estimating the Weibull tail-coefficient which is the regular variation exponent of the inverse failure rate function. We propose a family of estimators of this coefficient and an associate extreme quantile estimator. Their asymptotic normality are established and their asymptotic mean-square errors are compared. The results are illustrated on some finite sample situations.