A Lynden-Bell integral estimator for extremes of randomly truncated data

DOI10.1016/J.SPL.2015.11.011MaRDI QIDQ899645zbMATH OpenOpenAlexFDO

Authors Julien Worms, Rym Worms

Publication date 30 December 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.04189

zbMATH Keywords

extreme quantilesextreme values indexLynden-Bell estimatortruncated data

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Statistics of extreme values; tail inference (62G32)

Abstract: This work deals with the estimation of the extreme value index and extreme quantiles for heavy tailed data,randomly right truncated by another heavy tailed variable. Under mild assumptions and the condition thatthe truncated variable is less heavy-tailed than the truncating variable, asymptotic normality is proved for bothestimators. The proposed estimator of the extreme value index is an adaptation of the Hill estimator, in thenatural form of a Lynden-Bell integral. Simulations illustrate the quality of the estimators under a variety ofsituations.

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Cites work

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Cited in

(11)

• Extreme value statistics for censored data with heavy tails under competing risks
• Trimmed extreme value estimators for censored heavy-tailed data
• On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
• Estimation of the extreme value index in a censorship framework: asymptotic and finite sample behavior
• Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation
• Estimating extreme quantiles under random truncation
• Tail product-limit process for truncated data with application to extreme value index estimation
• A Lynden-Bell integral estimator for the tail index of right-truncated data with a random threshold
• Bias reduction in kernel tail index estimation for randomly truncated Pareto-type data
• Conditional tail moment and reinsurance premium estimation under random right censoring
• Semiparametric tail-index estimation for randomly right-truncated heavy-tailed data

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