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1 IMADA - Department of Mathematics and Computer Science Odense 2 IRMA - Institut de Recherche Mathématique Avancée

Abstract : We study nonparametric robust tail coefficient estimation when the variable of interest, assumed to be of Weibull type, is observed simultaneously with a random covariate. In particular, we introduce a robust estimator for the tail coefficient, using the idea of the density power divergence, based on the relative excesses above a high threshold. The main asymptotic properties of our estimator are established under very general assumptions. The finite sample performance of the proposed procedure is evaluated by a small simulation experiment. The authors are very grateful to the referee for her-his very constructive comments on the paper. The suggestions have definitely improved the presentation of the material.

Author: Yuri Goegebeur - Armelle Guillou - Théo Rietsch -



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