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

作者：Goegebeur Yuri; Guillou Armelle^*; Osmann Michael

来源：Statistics & Probability Letters, 2015, 103: 8-16.

DOI：10.1016/j.spl.2015.04.008

• Extremes
• Local estimation
• Regression
• Tail index

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.

• 出版日期2015-8