Searcharxiv⌕ Search

arXiv subjects

Louiza Soltane

Publications and source records attributed to Louiza Soltane.

5 recordsLinked to original sources
arXiv2021

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

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.

math.ST↗
arXiv2018

Tail empirical process and weighted extreme value index estimator for randomly right-censored data

A tail empirical process for heavy-tailed and right-censored data is introduced and its Gaussian approximation is established. In this context, a (weighted) new Hill-type estimator for positive extreme value index is proposed and its consistency and asymptotic normality are proved by means of the aforementioned process in the framework of second-order conditions of regular variation. In a comparative simulation study, the newly defined estimator is seen to perform better than the already existing ones in terms of both bias and mean squared error. As a real data example, we apply our estimation procedure to evaluate the tail index of the survival time of Australian male Aids patients. It is noteworthy that our approach may also serve to develop other statistics related to the distribution tail such as second-order parameter and reduced-bias tail index estimators. Furthermore, the proposed tail empirical process provides a goodness-of-fit test for Pareto-like models under censorship.

math.ST↗
arXiv2016

Statistical estimate of the proportional hazard premium of loss under random censoring

Many insurance premium principles are defined and various estimation procedures introduced in the literature. In this paper, we focus on the estimation of the excess-of-loss reinsurance premium when the risks are randomly right-censored. The asymptotic normality of the proposed estimator is established under suitable conditions and its performance evaluated through sets of simulated data.

math.ST↗
arXiv2015

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

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

math.ST↗