Weibull tail-distributions revisited: A new look at some tail estimators

In this paper, we propose to include Weibull tail-distributions in a more general family of distributions. In particular, the considered model also encompasses the whole Fréchet maximum domain of attraction as well as log-Weibull tail-distributions. The asymptotic normality of some tail estimators based on the log-spacings between the largest order statistics is established in a unified way within the considered family. This result permits to understand the similarity between most estimators of the Weibull tail-coefficient and the Hill estimator. Some different asymptotic properties, in terms of bias, rate of convergence, are also highlighted.