On the asymptotic normality of the extreme value index for right-truncated data

Souad Benchaira, Djamel Meraghni and Abdelhakim Necir

Statistics & Probability Letters, 2015, vol. 107, issue C, 378-384

Abstract: Recently, Gardes and Stupfler (2015) introduced an estimator of the extreme value index under random truncation based on two distinct sample fractions of extremes from truncated and truncation data. In this paper, we make use of the weighted tail-copula processes to complete their work in the case of equal fractions.

Keywords: Bivariate extremes; Extreme values; Random truncation; Tail dependence (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016771521530081X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:107:y:2015:i:c:p:378-384

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2015.08.031

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().