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

页码：186 / 193

页数：8

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