A Lynden-Bell integral estimator for the tail index of right-truncated data with a random threshold

DOI10.16929/AS/2017.1159.97MaRDI QIDQ527121zbMATH OpenOpenAlexFDO

Authors Nawel Haouas, A. Necir, D. Meraghni, B. Brahimi

Publication date 16 May 2017

Published in Afrika Statistika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1611.05147, https://projecteuclid.org/euclid.as/1492826419

zbMATH Keywords

extreme value indexheavy-tailsLynden-Bell estimatorrandom truncation

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Censored data models (62N01)

Abstract: By means of a Lynden-Bell integral with deterministic threshold, Worms and Worms [A Lynden-Bell integral estimator for extremes of randomly truncated data. Statist. Probab. Lett. 2016; 109: 106-117] recently introduced an asymptotically normal estimator of the tail index for randomly right-truncated Pareto-type data. In this context, we consider the random threshold case to derive a Hill-type estimator and establish its consistency and asymptotic normality. A simulation study is carried out to evaluate the finite sample behavior of the proposed estimator.

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Cited in

(4)

• On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
• Tail product-limit process for truncated data with application to extreme value index estimation
• Semiparametric tail-index estimation for randomly right-truncated heavy-tailed data
• A Lynden-Bell integral estimator for extremes of randomly truncated data

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