A Lynden-Bell integral estimator for the tail index of right-truncated data with a random threshold

  • Nawel Haouas
  • Abdelhakim Necir
  • Djamel Meraghni
  • Brahim Brahimi

Abstract

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.

Keywords: Extreme value index; Heavy-tails; Lynden-Bell estimator; Random truncation

Published
2017-05-05
Section
Articles

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print ISSN: 2316-090X