Robust Estimations for the Tail Index of Weibull-Type Distribution

Abstract

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.

Keywords

• robust
• Weibull tail coefficient
• influence function
• asymptotic relative efficiency
• CRIX