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

DOI10.1007/S10687-016-0241-9zbMATH Open1339.60027arXiv1507.01548OpenAlexW2963993679MaRDI QIDQ291405FDOQ291405

Authors: Souad Benchaira, D. Meraghni, A. Necir 

Publication date: 7 June 2016

Published in: Extremes (Search for Journal in Brave)

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.

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

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zbMATH Keywords

heavy tailsempirical processextreme value indexHill estimatorhigh quantilesLynden-Bell estimatorrandom truncationtail product-limit processweighted Gaussian approximation

Mathematics Subject Classification ID

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)

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Cited In (13)

• Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation
• 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
• Extreme value analysis without the largest values: what can be done?

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