Robust estimations for the tail index of Weibull-type distribution
Statistics Theory
2018-10-18 v4 Statistics Theory
Abstract
Based on suitable left-truncated or censored data, two flexible classes of -estimations of Weibull tail coefficient are proposed with two additional parameters bounding the impact of extreme contamination. Asymptotic normality with -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
Cite
@article{arxiv.1809.01317,
title = {Robust estimations for the tail index of Weibull-type distribution},
author = {Chengping Gong and Chengxiu Ling},
journal= {arXiv preprint arXiv:1809.01317},
year = {2018}
}