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

DOI10.1016/j.spl.2016.08.004zbMath1350.60016arXiv1512.00425MaRDI QIDQ334035

Abdelhakim Necir, Djamel Meraghni, Souad Benchaira

Publication date: 31 October 2016

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

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

zbMATH Keywords

asymptotic normality; kernel estimation; product-limit estimator; heavy tails; extreme value index; tail dependence; random truncation; bivariate extremes

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G05: Nonparametric estimation

60F05: Central limit and other weak theorems

62G30: Order statistics; empirical distribution functions

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

60F17: Functional limit theorems; invariance principles

Related Items

Estimating the Mean of Heavy-tailed Distribution under Random Truncation, Bias reduction in kernel tail index estimation for randomly truncated Pareto-type 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, A Lynden-Bell integral estimator for extremes of randomly truncated 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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