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arXiv · 1507.03178

Estimating the mean of a heavy-tailed distribution under random censoring

Louiza Soltane·Djamel Meraghni·Abdelhakim Necir
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Abstract

The central limit theorem introduced by Stute [The central limit theorem under random censorship. Ann. Statist. 1995; 23: 422-439] does not hold for some class of heavy-tailed distributions. In this paper, we make use of the extreme value theory to propose an alternative estimating approach of the mean ensuring the asymptotic normality property. A simulation study is carried out to evaluate the performance of this estimation procedure

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Louiza Soltane, Djamel Meraghni, Abdelhakim Necir. 2015-07-12. Estimating the mean of a heavy-tailed distribution under random censoring. https://arxiv.org/abs/1507.03178

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