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arXiv · 1103.6204

Bias-reduced extreme quantiles estimators of Weibull-tail distributions

Jean Diebolt·Laurent Gardes·Stéphane Girard·Armelle Guillou
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Abstract

In this paper, we consider the problem of estimating an extreme quantile of a Weibull tail-distribution. The new extreme quantile estimator has a reduced bias compared to the more classical ones proposed in the literature. It is based on an exponential regression model that was introduced in Diebolt et al. (2008). The asymptotic normality of the extreme quantile estimator is established. We also introduce an adaptive selection procedure to determine the number of upper order statistics to be used. A simulation study as well as an application to a real data set are provided in order to prove the efficiency of the above mentioned methods.

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Jean Diebolt, Laurent Gardes, Stéphane Girard, Armelle Guillou. 2011-03-31. Bias-reduced extreme quantiles estimators of Weibull-tail distributions. https://arxiv.org/abs/1103.6204

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