A Hill Type Estimator of the Weibull Tail-Coefficient
Author:
- Stéphane GirardSGStéphane Girard
- 4 January 2004
- journal article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 33 (2) , 205-234
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.Keywords
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