Fitting tails affected by truncation

DOI10.1214/17-EJS1286zbMATH Open1362.62115arXiv1606.02090OpenAlexW2413788651MaRDI QIDQ527112FDOQ527112

Authors: Tom Reynkens, J. Beirlant, M. Isabel Fraga Alves 

Publication date: 16 May 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: In several applications, ultimately at the largest data, truncation effects can be observed when analysing tail characteristics of statistical distributions. In some cases truncation effects are forecasted through physical models such as the Gutenberg-Richter relation in geophysics, while at other instances the nature of the measurement process itself may cause under recovery of large values, for instance due to flooding in river discharge readings. Recently Beirlant et al. (2016) discussed tail fitting for truncated Pareto-type distributions. Using examples from earthquake analysis, hydrology and diamond valuation we demonstrate the need for a unified treatment of extreme value analysis for truncated heavy and light tails. We generalise the classical Peaks over Threshold approach for the different max-domains of attraction with shape parameter $xi>-1/2$ to allow for truncation effects. We use a pseudo-maximum likelihood approach to estimate the model parameters and consider extreme quantile estimation and reconstruction of quantile levels before truncation whenever appropriate. We report on some simulation experiments and provide some basic asymptotic results.

Full work available at URL: https://arxiv.org/abs/1606.02090

Recommendations

• Tail fitting for truncated and non-truncated Pareto-type distributions
• Parameter Estimation for the Truncated Pareto Distribution
• Estimating extreme quantiles under random truncation
• Understanding heavy tails in a bounded world or, is a truncated heavy tail heavy or not?
• Tail product-limit process for truncated data with application to extreme value index estimation

zbMATH Keywords

maximum likelihood estimationtruncationtail estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12)

Cited In (8)

• Explaining the seismic moment of large earthquakes by heavy and extremely heavy tailed models
• Understanding heavy tails in a bounded world or, is a truncated heavy tail heavy or not?
• Handling missing extremes in tail estimation
• A discrete truncated Zipf distribution
• Statistical analysis of fracture-length distribution sampled under the truncation and censoring effects
• TEMPERED PARETO-TYPE MODELLING USING WEIBULL DISTRIBUTIONS
• Tail area revisited
• Extreme value analysis without the largest values: what can be done?

This page was built for publication: Fitting tails affected by truncation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q527112)