Inferences on Parametric Estimation of Distribution Tails
- Authors: Rodionov I.V.1,2
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Affiliations:
- Steklov Mathematical Institute, Russian Academy of Sciences
- Trapeznikov Institute of Control Sciences, Russian Academy of Sciences
- Issue: Vol 100, No 2 (2019)
- Pages: 456-458
- Section: Mathematics
- URL: https://journals.rcsi.science/1064-5624/article/view/225719
- DOI: https://doi.org/10.1134/S1064562419050156
- ID: 225719
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Abstract
We propose a general method for parameter estimation of a distribution tail that does not depend on the fulfillment of the conditions of the Gnedenko theorem. We prove the consistency of the proposed estimator and its asymptotic normality under stronger conditions imposed on the parametric family of distribution tails. Additionally, the proposed method is adapted for estimating the Weibull and log-Weibull tail indices.
About the authors
I. V. Rodionov
Steklov Mathematical Institute, Russian Academyof Sciences; Trapeznikov Institute of Control Sciences, Russian Academy of Sciences
Author for correspondence.
Email: vecsell@gmail.com
Russian Federation, Moscow, 119333; Moscow, 117997