Nelson-Aalen tail product-limit process and extreme value index estimation under random censorship

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

Publication date 13 February 2015

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)

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.

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