Tail product-limit process for truncated data with application to extreme value index estimation
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heavy tailsempirical processextreme value indexHill estimatorhigh quantilesLynden-Bell estimatorrandom truncationtail product-limit processweighted Gaussian approximation
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)
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.
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Cites work
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(13)- Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation
- Extreme value analysis without the largest values: what can be done?
- Almost sure representations of the product-limit estimator for truncated data
- Semiparametric tail-index estimation for randomly right-truncated heavy-tailed data
- Handling missing extremes in tail estimation
- On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
- Estimating extreme quantiles under random truncation
- A Lynden-Bell integral estimator for extremes of randomly truncated data
- Estimating the Mean of Heavy-tailed Distribution under Random Truncation
- 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 Lynden-Bell integral estimator for the tail index of right-truncated data with a random threshold
- Fitting tails affected by truncation
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