Article ID Journal Published Year Pages File Type
1151426 Statistics & Probability Letters 2015 9 Pages PDF
Abstract

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.

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
An estimator for the tail index of an integrated conditional Pareto–Weibull-type model
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