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arXiv · 1512.00425

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

Souad Benchaira·Djamel Meraghni·Abdelhakim Necir
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Abstract

In this paper, we define a kernel estimator for the tail index of a Pareto-type distribution under random right-truncation and establish its asymptotic normality. A simulation study shows that, compared to the estimators recently proposed by Gardes & Stupfler (2015) and Benchaira et al. (2015), this newly introduced estimator behaves better, in terms of bias and mean squared error, for small samples.

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Souad Benchaira, Djamel Meraghni, Abdelhakim Necir. 2015-12-01. Kernel estimation of the tail index of a right-truncated Pareto-type distribution. https://arxiv.org/abs/1512.00425

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