Bias Reduction in Kernel Tail Index Estimation for Randomly Truncated Pareto-Type Data

被引：0
|
作者：
Saida Mancer
Abdelhakim Necir
Souad Benchaira
机构：
[1] Mohamed Khider University of Biskra,Department of Mathematics
来源：
Sankhya A | 2023年 / 85卷
关键词：
Bias reduction; extreme value index; kernel estimation; truncated data.; Primary 62G32; 62G20; Secondary 65C05;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
A bias reduction to a kernel estimator of the tail index of randomly right-truncated Pareto-type distributions is made. The asymptotic normality of the derived estimator is established by assuming the second-order condition of regular variation. A simulation study is carried out to evaluate the finite sample behavior of the proposed estimator and compare it to those with non-reduced bias. An application to a real dataset of lifetimes of automobile brake pads is done.
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页码：1510 / 1547
页数：37
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