On the penultimate tail behavior of Weibull-type models

Marta Ferreira

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arXiv · 1109.3139

On the penultimate tail behavior of Weibull-type models

Marta Ferreira

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Abstract

The Gumbel max-domain of attraction corresponds to a null tail index which do not distinguish the different tail weights that might exist between distributions within this class. The Weibull-type distributions form an important subgroup of this latter and includes the so-called \emph{Weibull-tail coefficient}, usually denoted θ, that specifies the tail behavior, with larger values indicating slower tail decay. Here we shall see that the Weibull-type distributions present a penultimate tail behavior Fréchet if θ>1 and a penultimate tail behavior Weibull whenever θ<1.

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Marta Ferreira. 2011-09-26. On the penultimate tail behavior of Weibull-type models. https://arxiv.org/abs/1109.3139

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