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arXiv · 1507.01548

Tail product-limit process for truncated data with application to extreme value index estimation

Souad Benchaira·Djamel Meraghni·Abdelhakim Necir
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Abstract

A weighted Gaussian approximation to tail product-limit process for Pareto-like distributions of randomly right-truncated data is provided and a new consistent and asymptotically normal estimator of the extreme value index is derived. A simulation study is carried out to evaluate the finite sample behavior of the proposed estimator.

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Souad Benchaira, Djamel Meraghni, Abdelhakim Necir. 2015-07-06. Tail product-limit process for truncated data with application to extreme value index estimation. https://arxiv.org/abs/1507.01548

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