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Robust conditional Weibull-type estimation

  • Yuri GoegebeurEmail author
  • Armelle Guillou
  • Théo Rietsch
Article

Abstract

We study nonparametric robust tail coefficient estimation when the variable of interest, assumed to be of Weibull type, is observed simultaneously with a random covariate. In particular, we introduce a robust estimator for the tail coefficient, using the idea of the density power divergence, based on the relative excesses above a high threshold. The main asymptotic properties of our estimator are established under very general assumptions. The finite sample performance of the proposed procedure is evaluated by a small simulation experiment.

Keywords

Weibull-type distribution Tail coefficient Density power divergence Local estimation 

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Copyright information

© The Institute of Statistical Mathematics, Tokyo 2014

Authors and Affiliations

  • Yuri Goegebeur
    • 1
    Email author
  • Armelle Guillou
    • 2
  • Théo Rietsch
    • 2
    • 3
  1. 1.Department of Mathematics and Computer ScienceUniversity of Southern DenmarkOdense MDenmark
  2. 2.Institut Recherche Mathématique Avancée, UMR 7501Université de Strasbourg et CNRSStrasbourg CedexFrance
  3. 3.Laboratoire des Sciences du Climat et de l’Environnement, LSCE-IPSL-CNRSGif-sur-YvetteFrance

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