A Lynden-Bell integral estimator for extremes of randomly truncated data
نویسندگان
چکیده
منابع مشابه
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 that the truncated variable is less heavy-tailed than the truncating variable, asymptotic normality is proved for both estimators. The proposed estimator of the extreme value index is an ad...
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ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2016
ISSN: 0167-7152
DOI: 10.1016/j.spl.2015.11.011