Asymptotic normality of Hill estimator for truncated data

DOI10.1214/EJP.V16-935zbMATH OpenNoneMaRDI QIDQ428567FDOQ428567

Authors Arijit Chakrabarty

Publication date 22 June 2012

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1009.4286

zbMATH Keywords

asymptotic normalityheavy tailstruncationHill estimatorsecond order regular variation

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

Abstract: The problem of estimating the tail index from truncated data is addressed in Chakrabarty and Samorodnitsky (2009). In that paper, a sample based (and hence random) choice of k is suggested, and it is shown that the choice leads to a consistent estimator of the inverse of the tail index. In this paper, the second order behavior of the Hill estimator with that choice of k is studied, under some additional assumptions. In the untruncated situation, it is well known that asymptotic normality of the Hill estimator follows from the assumption of second order regular variation of the underlying distribution. Motivated by this, we show the same in the truncated case in light of the second order regular variation.

This page was built for publication: Asymptotic normality of Hill estimator for truncated data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q428567)