Nelson-Aalen tail product-limit process and extreme value index estimation under random censorship
From MaRDI portal
Publication:6259059
arXiv1502.03955MaRDI QIDQ6259059FDOQ6259059
Authors: B. Brahimi, D. Meraghni, A. Necir 
Publication date: 13 February 2015
Abstract: On the basis of Nelson-Aalen nonparametric estimator of the cumulative distribution function, we provide a weak approximation to tail product-limit process for randomly right-censored heavy-tailed data. In this context, a new consistent reduced-bias estimator of the extreme value index is introduced and its asymptotic normality is established only by assuming the second-order regular variation of the underlying distribution function. A simulation study shows that the newly proposed estimator performs better than the existing ones.
Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Auctions, bargaining, bidding and selling, and other market models (91B26)
This page was built for publication: Nelson-Aalen tail product-limit process and extreme value index estimation under random censorship
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6259059)
