Estimating extreme quantiles under random truncation
نویسندگان
چکیده
The goal of this paper is to provide estimators of the tail index and extreme quantiles of a heavy-tailed random variable when it is righttruncated. The weak consistency and asymptotic normality of the estimators are established. The finite sample performance of our estimators is illustrated on a simulation study and we showcase our estimators on a real set of failure data. keywords: Asymptotic normality, consistency, extreme quantile, heavy-tailed distribution,tail index. AMS Subject Classifications: 62G05, 62G20, 62G30, 62G32.
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تاریخ انتشار 2017