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Doklady Mathematics

, Volume 100, Issue 2, pp 456–458 | Cite as

Inferences on Parametric Estimation of Distribution Tails

  • I. V. RodionovEmail author
MATHEMATICS
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Abstract

We propose a general method for parameter estimation of a distribution tail that does not depend on the fulfillment of the conditions of the Gnedenko theorem. We prove the consistency of the proposed estimator and its asymptotic normality under stronger conditions imposed on the parametric family of distribution tails. Additionally, the proposed method is adapted for estimating the Weibull and log-Weibull tail indices.

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Notes

FUNDING

This work was supported by the Russian Science Foundation, project no. 19-11-00290.

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Copyright information

© Pleiades Publishing, Ltd. 2019

Authors and Affiliations

  1. 1.Steklov Mathematical Institute, Russian Academy of SciencesMoscowRussia
  2. 2.Trapeznikov Institute of Control Sciences, Russian Academy of SciencesMoscowRussia

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