A Lynden-Bell integral estimator for extremes of randomly truncated data

A Lynden-Bell integral estimator for extremes of randomly truncated data

In the framework of heavy-tailed randomly truncated data, a new estimator is proposed for the extreme value index in a natural Lynden-Bell integral form. Extreme quantiles are also estimated, and the asymptotic normality is established under mild assumptions.

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Bibliographische Detailangaben
Veröffentlicht in:Statistics & probability letters 2016-02, Vol.109, p.106-117
Hauptverfasser: Worms, J., Worms, R.
Format: Artikel
Sprache:eng
Schlagworte:
Extreme quantiles
Extreme values index
Lynden-Bell estimator
Mathematics
Statistics
Truncated data
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Beschreibung
Zusammenfassung:In the framework of heavy-tailed randomly truncated data, a new estimator is proposed for the extreme value index in a natural Lynden-Bell integral form. Extreme quantiles are also estimated, and the asymptotic normality is established under mild assumptions.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2015.11.011