Tail product-limit process for truncated data with application to extreme value index estimation

DOI10.1007/s10687-016-0241-9zbMath1339.60027arXiv1507.01548OpenAlexW2963993679MaRDI QIDQ291405

Souad Benchaira, Djamel Meraghni, Abdelhakim Necir

Publication date: 7 June 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.01548

zbMATH Keywords

heavy tailsempirical processHill estimatorextreme value indexhigh quantilesLynden-Bell estimatorrandom truncationtail product-limit processweighted Gaussian approximation

Mathematics Subject Classification ID

Gaussian processes (60G15) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Functional limit theorems; invariance principles (60F17)

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Handling missing extremes in tail estimation, Kernel estimation of the tail index of a right-truncated Pareto-type distribution, Estimating the Mean of Heavy-tailed Distribution under Random Truncation, A Lynden-Bell integral estimator for extremes of randomly truncated data, EXTREME VALUE ANALYSIS WITHOUT THE LARGEST VALUES: WHAT CAN BE DONE?, Bias reduction in kernel tail index estimation for randomly truncated Pareto-type data, On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails, Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation

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