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

被引：5
|
作者：
Benchaira, Souad [1 ]
Meraghni, Djamel [1 ]
Necir, Abdelhakim [1 ]
机构：
[1] Mohamed Khider Univ, Lab Appl Math, Biskra, Algeria
来源：
STATISTICS & PROBABILITY LETTERS | 2016年 / 119卷
关键词：
Extreme value index; Heavy-tails; Kernel estimation; Product-limit estimator; Random truncation; EXTREME-VALUE INDEX;
D O I：
10.1016/j.spl.2016.08.004
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
An asymptotically normal kernel estimator for the positive tail index of right-truncated data is introduced. A simulation study shows that the proposed estimator performs much better than the existing ones in terms of bias. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：186 / 193
页数：8
相关论文
共 50 条
  • [1] Bias Reduction in Kernel Tail Index Estimation for Randomly Truncated Pareto-Type Data
    Mancer, Saida
    Necir, Abdelhakim
    Benchaira, Souad
    [J]. SANKHYA-SERIES A-MATHEMATICAL STATISTICS AND PROBABILITY, 2022, 85 (2): : 1510 - 1547
  • [2] Bias Reduction in Kernel Tail Index Estimation for Randomly Truncated Pareto-Type Data
    Mancer, Saida
    Necir, Abdelhakim
    Benchaira, Souad
    [J]. SANKHYA-SERIES A-MATHEMATICAL STATISTICS AND PROBABILITY, 2023, 85 (02): : 1510 - 1547
  • [3] Bias Reduction in Kernel Tail Index Estimation for Randomly Truncated Pareto-Type Data
    Saida Mancer
    Abdelhakim Necir
    Souad Benchaira
    [J]. Sankhya A, 2023, 85 : 1510 - 1547
  • [4] Robust estimation techniques for the tail index of the new Pareto-type distribution
    Safari, Muhammad Aslam Mohd
    Masseran, Nurulkamal
    [J]. EMPIRICAL ECONOMICS, 2024, 66 (03) : 1161 - 1189
  • [5] Robust estimation techniques for the tail index of the new Pareto-type distribution
    Muhammad Aslam Mohd Safari
    Nurulkamal Masseran
    [J]. Empirical Economics, 2024, 66 : 1161 - 1189
  • [6] Estimation of the Tail Index of Pareto-Type Distributions Using Regularisation
    Ocran, E.
    Minkah, R.
    Kallah-Dagadu, G.
    Doku-Amponsah, K.
    [J]. JOURNAL OF MATHEMATICS, 2022, 2022
  • [7] Tail fitting for truncated and non-truncated Pareto-type distributions
    Jan Beirlant
    Isabel Fraga Alves
    Ivette Gomes
    [J]. Extremes, 2016, 19 : 429 - 462
  • [8] Tail fitting for truncated and non-truncated Pareto-type distributions
    Beirlant, Jan
    Alves, Isabel Fraga
    Gomes, Ivette
    [J]. EXTREMES, 2016, 19 (03) : 429 - 462
  • [9] Robust estimation of Pareto-type tail index through an exponential regression model
    Minkah, Richard
    de Wet, Tertius
    Ghosh, Abhik
    [J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2023, 52 (02) : 479 - 498
  • [10] A robust estimator for the tail index of Pareto-type distributions
    Vandewalle, B.
    Beirlant, J.
    Christmann, A.
    Hubert, M.
    [J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2007, 51 (12) : 6252 - 6268
12345