Email this article Inferences on parametric estimation of distribution tails
- Authors: Rodionov I.V.1,2
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Affiliations:
- Steklov Mathematical Institute of Russian Academy of Sciences
- Institute of Control Sciences of the Russian Academy of Sciences
- Issue: Vol 488, No 4 (2019)
- Pages: 358-361
- Section: Mathematics
- URL: https://journals.eco-vector.com/0869-5652/article/view/17672
- DOI: https://doi.org/10.31857/S0869-56524884358-361
- ID: 17672
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Abstract
We propose a general method of parameter estimation of a distribution tail that does not depend on the fulfillment of the conditions of Gnedenko theorem. We prove the consistency of the proposed estimator and its asymptotic normality under the stronger conditions imposed on the parametric family of distribution tails. Additionally, the adaptation of the proposed method to Weibull and log-Weibull tail indices estimation is provided.
About the authors
I. V. Rodionov
Steklov Mathematical Institute of Russian Academy of Sciences; Institute of Control Sciences of the Russian Academy of Sciences
Author for correspondence.
Email: vecsell@gmail.com
Russian Federation, 8, Gubkina street, Moscow, 117966; 65, Profsoyuznaya street, Moscow, 117997
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