Tail product-limit process for truncated data with application to extreme value index estimation
Statistics Theory
2015-07-07 v1 Statistics Theory
Abstract
A weighted Gaussian approximation to tail product-limit process for Pareto-like distributions of randomly right-truncated data is provided and a new consistent and asymptotically normal estimator of the extreme value index is derived. A simulation study is carried out to evaluate the finite sample behavior of the proposed estimator.
Cite
@article{arxiv.1507.01548,
title = {Tail product-limit process for truncated data with application to extreme value index estimation},
author = {Souad Benchaira and Djamel Meraghni and Abdelhakim Necir},
journal= {arXiv preprint arXiv:1507.01548},
year = {2015}
}