Kernel estimation for the tail index of a right-censored Pareto-type distribution

arXiv2110.07459MaRDI QIDQ6380348FDOQ6380348

Publication date: 14 October 2021

Abstract: We introduce a kernel estimator, to the tail index of a right-censored Pareto-type distribution, that generalizes Worms's one (Worms and Worms, 2014)in terms of weight coefficients. Under some regularity conditions, the asymptotic normality of the proposed estimator is established. In the framework of the second-order condition, we derive an asymptotically bias-reduced version to the new estimator. Through a simulation study, we conclude that one of the main features of the proposed kernel estimator is its smoothness contrary to Worms's one, which behaves, rather erratically, as a function of the number of largest extreme values. As expected, the bias significantly decreases compared to that of the non-smoothed estimator with however a slight increase in the mean squared error.

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)

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