Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation

DOI10.1007/S42519-018-0017-4zbMath1420.62221arXiv1610.00094OpenAlexW2963426991MaRDI QIDQ2322012

Brahim Brahimi, Abdelhakim Necir, Nawel Haouas

Publication date: 27 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.00094

zbMATH Keywords

bias reductionproduct limit estimatorextreme value indexrandom truncationsecond-order parameter

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Functional limit theorems; invariance principles (60F17)

Related Items (1)

Bias reduction in kernel tail index estimation for randomly truncated Pareto-type data

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