An estimator for the tail index of an integrated conditional Pareto-Weibull-type model

被引：0
|
作者：
Goegebeur, Yuri [1 ]
Guillou, Armelle [2 ]
Osmann, Michael [1 ]
机构：
[1] Univ Southern Denmark, Dept Math & Comp Sci, DK-5230 Odense M, Denmark
[2] Univ Strasbourg, CNRS, UMR 7501, Inst Rech Math Avancee, F-67084 Strasbourg, France
来源：
STATISTICS & PROBABILITY LETTERS | 2015年 / 103卷
关键词：
Extremes; Local estimation; Regression; Tail index;
D O I：
10.1016/j.spl.2015.04.008
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We introduce a nonparametric regression estimator for a tail heaviness parameter in an integrated conditional Pareto-Weibull-type model. The estimator is based on local log excesses over a high random threshold. Asymptotic properties are derived under proper regularity conditions. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：8 / 16
页数：9
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