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arXiv · 1611.05147

A Lynden-Bell integral estimator for the tail index of right-truncated data with a random threshold

Nawel Haouas·Abdelhakim Necir·Djamel Meraghni·Brahim Brahimi
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Abstract

By means of a Lynden-Bell integral with deterministic threshold, Worms and Worms [A Lynden-Bell integral estimator for extremes of randomly truncated data. Statist. Probab. Lett. 2016; 109: 106-117] recently introduced an asymptotically normal estimator of the tail index for randomly right-truncated Pareto-type data. In this context, we consider the random threshold case to derive a Hill-type estimator and establish its consistency and asymptotic normality. A simulation study is carried out to evaluate the finite sample behavior of the proposed estimator.

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Nawel Haouas, Abdelhakim Necir, Djamel Meraghni, Brahim Brahimi. 2016-11-16. A Lynden-Bell integral estimator for the tail index of right-truncated data with a random threshold. https://arxiv.org/abs/1611.05147

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