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Journal Articles Communications in Statistics - Theory and Methods Year : 2004

A HILL TYPE ESTIMATOR OF THE WEIBULL TAIL-COEFFICIENT

Abstract

We present a new estimator of the Weibull tail-coefficient. The Weibull tail-coefficient is defined as the regular variation coefficient of the inverse cumulative hazard function. Our estimator is based on the log-spacings of the upper order statistics. Therefore, it is very similar to the Hill estimator for the extreme value index. We prove the weak consistency and the asymptotic normality of our estimator. Its asymptotic as well as its finite sample performances are compared to classical ones.
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Dates and versions

hal-00724602 , version 1 (21-08-2012)

Identifiers

  • HAL Id : hal-00724602 , version 1

Cite

Stéphane Girard. A HILL TYPE ESTIMATOR OF THE WEIBULL TAIL-COEFFICIENT. Communications in Statistics - Theory and Methods, 2004, 33 (2), pp.205-234. ⟨hal-00724602⟩

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