Kernel estimation of the tail index of a right-truncated Pareto-type distribution

DOI10.1016/J.SPL.2016.08.004zbMATH Open1350.60016arXiv1512.00425OpenAlexW2962871238MaRDI QIDQ334035FDOQ334035

A. Necir, D. Meraghni, Souad Benchaira

Publication date: 31 October 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: In this paper, we define a kernel estimator for the tail index of a Pareto-type distribution under random right-truncation and establish its asymptotic normality. A simulation study shows that, compared to the estimators recently proposed by Gardes & Stupfler (2015) and Benchaira et al. (2015), this newly introduced estimator behaves better, in terms of bias and mean squared error, for small samples.

Full work available at URL: https://arxiv.org/abs/1512.00425

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zbMATH Keywords

asymptotic normalityheavy tailskernel estimationtail dependenceextreme value indexproduct-limit estimatorrandom truncationbivariate extremes

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)

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Cited In (10)

• Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation
• Semiparametric tail-index estimation for randomly right-truncated heavy-tailed data
• Tail product-limit process for truncated data with application to extreme value index estimation
• Kernel estimation of the tail index of a right-truncated Pareto-type distribution
• On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
• 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
• Title not available (Why is that?)
• Bias reduction in kernel tail index estimation for randomly truncated Pareto-type data

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