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

DOI10.1016/j.spl.2016.08.004zbMath1350.60016arXiv1512.00425OpenAlexW2962871238MaRDI QIDQ334035

Abdelhakim Necir, Djamel Meraghni, Souad Benchaira

Publication date: 31 October 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.00425

zbMATH Keywords

asymptotic normalitykernel estimationproduct-limit estimatorheavy tailsextreme value indextail dependencerandom truncationbivariate extremes

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Functional limit theorems; invariance principles (60F17)

Related Items (7)

Tail product-limit process for truncated data with application to extreme value index estimation ⋮ Kernel estimation of the tail index of a right-truncated Pareto-type distribution ⋮ Estimating the Mean of Heavy-tailed Distribution under Random Truncation ⋮ A Lynden-Bell integral estimator for extremes of randomly truncated data ⋮ Bias reduction in kernel tail index estimation for randomly truncated Pareto-type data ⋮ On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails ⋮ Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation

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