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Robust Estimations for the Tail Index of Weibull-Type Distribution
oleh: Chengping Gong, Chengxiu Ling
Format: | Article |
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Diterbitkan: | MDPI AG 2018-10-01 |
Deskripsi
Based on suitable left-truncated or censored data, two flexible classes of M-estimations of Weibull tail coefficient are proposed with two additional parameters bounding the impact of extreme contamination. Asymptotic normality with n -rate of convergence is obtained. Its robustness is discussed via its asymptotic relative efficiency and influence function. It is further demonstrated by a small scale of simulations and an empirical study on CRIX.