A Lynden-Bell integral estimator for the tail index of right-truncated data with a random threshold
Statistics Theory
2016-11-22 v2 Statistics Theory
Abstract
By means of a Lynden-Bell integral with deterministic threshold, Worms and Worms [A Lynden-Bell integral estimator for extremes of randomly truncated data. Statist. Probab. Lett. 2016; 109: 106-117] recently introduced an asymptotically normal estimator of the tail index for randomly right-truncated Pareto-type data. In this context, we consider the random threshold case to derive a Hill-type estimator and establish its consistency and asymptotic normality. A simulation study is carried out to evaluate the finite sample behavior of the proposed estimator.
Keywords
Cite
@article{arxiv.1611.05147,
title = {A Lynden-Bell integral estimator for the tail index of right-truncated data with a random threshold},
author = {Nawel Haouas and Abdelhakim Necir and Djamel Meraghni and Brahim Brahimi},
journal= {arXiv preprint arXiv:1611.05147},
year = {2016}
}