Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation

DOI10.1007/S42519-018-0017-4zbMATH Open1420.62221arXiv1610.00094OpenAlexW2963426991MaRDI QIDQ2322012FDOQ2322012

B. Brahimi, A. Necir, Nawel Haouas

Publication date: 27 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Abstract: In this paper, we propose an estimator of the second-order parameter of randomly right-truncated Pareto-type distributions data and establish its consistency and asymptotic normality. Moreover, we derive an asymptotically unbiased estimator of the tail index and study its asymptotic behaviour. Our considerations are based on a useful Gaussian approximation of the tail product-limit process recently given by Benchaira et al. [Tail product-limit process for truncated data with application to extreme value index estimation. Extremes, 2016; 19: 219-251] and the results of Gomes et al. [Semi-parametric estimation of the second order parameter in statistics of extremes. Extremes, 2002; 5: 387-414]. We show, by simulation, that the proposed estimators behave well, in terms of bias and mean square error.

Full work available at URL: https://arxiv.org/abs/1610.00094

zbMATH Keywords

bias reductionextreme value indexrandom truncationproduct limit estimatorsecond-order parameter

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)

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Cited In (5)

• Bias reduction of a tail index estimator through an external estimation of the second-order parameter
• Semiparametric tail-index estimation for randomly right-truncated heavy-tailed data
• A bias-reduced estimation for reinsurance risk premiums of heavy-tailed loss distributions under random truncation
• Bias reduction in kernel tail index estimation for randomly truncated Pareto-type data
• A simple second-order reduced bias’ tail index estimator

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