A Lynden-Bell integral estimator for extremes of randomly truncated data
This work deals with the estimation of the extreme value index and extreme quantiles for heavy tailed data,randomly right truncated by another heavy tailed variable. Under mild assumptions and the condition thatthe truncated variable is less heavy-tailed than the truncating variable, asymptotic norm...
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Zusammenfassung: | This work deals with the estimation of the extreme value index and extreme
quantiles for heavy tailed data,randomly right truncated by another heavy
tailed variable. Under mild assumptions and the condition thatthe truncated
variable is less heavy-tailed than the truncating variable, asymptotic
normality is proved for bothestimators. The proposed estimator of the extreme
value index is an adaptation of the Hill estimator, in thenatural form of a
Lynden-Bell integral. Simulations illustrate the quality of the estimators
under a variety ofsituations. |
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DOI: | 10.48550/arxiv.1507.04189 |