Kernel estimation of the tail index of a right-truncated Pareto-type distribution
Statistics Theory
2015-12-02 v1 Statistics Theory
Abstract
In this paper, we define a kernel estimator for the tail index of a Pareto-type distribution under random right-truncation and establish its asymptotic normality. A simulation study shows that, compared to the estimators recently proposed by Gardes & Stupfler (2015) and Benchaira et al. (2015), this newly introduced estimator behaves better, in terms of bias and mean squared error, for small samples.
Keywords
Cite
@article{arxiv.1512.00425,
title = {Kernel estimation of the tail index of a right-truncated Pareto-type distribution},
author = {Souad Benchaira and Djamel Meraghni and Abdelhakim Necir},
journal= {arXiv preprint arXiv:1512.00425},
year = {2015}
}
Comments
arXiv admin note: text overlap with arXiv:1507.01548