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 $\sqrt{n}$-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.