Asymptotic normality of Hill estimator for truncated data
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Publication:428567
DOI10.1214/EJP.V16-935zbMATH OpenNonearXiv1009.4286MaRDI QIDQ428567FDOQ428567
Authors: Arijit Chakrabarty 
Publication date: 22 June 2012
Published in: Electronic Journal of Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1009.4286
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