Estimation de quantiles extrêmes pour les lois à queue de type Weibull : une synthèse bibliographique

Gardes, Laurent; Girard, Stéphane

Journal de la société française de statistique, Tome 154 (2013) no. 2, pp. 98-118.

Cet article est une synthèse bibliographique des méthodes d’estimation de quantiles extrêmes pour les lois à queue de type Weibull. Ces lois ont une fonction de survie qui décroit vers zéro à une vitesse exponentielle. Nous montrons comment cette problématique s’inscrit plus largement dans la théorie des valeurs extrêmes.

In this paper, an overview on extreme quantiles estimation for Weibull-tail distribution is provided. Recall that the survival function of a Weibull-tail distribution decreases exponentially fast. We show how this problem can be inserted in the more general setting of extreme value theory.

Mot clés : Lois à queue de type Weibull, Synthèse bibliographique
Keywords: Weibull-tail distributions, Overview

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