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  • 标题:A Lynden-Bell integral estimator for the tail index of right-truncated data with a random threshold
  • 本地全文:下载
  • 作者:Nawel Haouas ; Abdelhakim Necir ; Djamel Meraghni
  • 期刊名称:Afrika Statistika
  • 印刷版ISSN:0825-0305
  • 出版年度:2017
  • 卷号:12
  • 期号:1
  • 页码:1159-1170
  • 出版社:African Journals Online
  • 摘要:

    By means of a Lynden-Bell integral with deterministic threshold, Worms and Worms [A Lynden-Bell integral estimator for extremes of randomly truncated data. Statist. Probab. Lett. 2016; 109: 106-117] recently introduced an asymptotically normal estimator of the tail index for randomly right-truncated Pareto-type data. In this context, we consider the random threshold case to derive a Hill-type estimator and establish its consistency and asymptotic normality. A simulation study is carried out to evaluate the finite sample behavior of the proposed estimator.

  • 关键词:Extreme value index; Heavy-tails; Lynden-Bell estimator; Random truncation
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