Kernel estimation of the tail index of a right-truncated Pareto-type distribution

Souad Benchaira, Djamel Meraghni and Abdelhakim Necir

Statistics & Probability Letters, 2016, vol. 119, issue C, 186-193

Abstract: An asymptotically normal kernel estimator for the positive tail index of right-truncated data is introduced. A simulation study shows that the proposed estimator performs much better than the existing ones in terms of bias.

Keywords: Extreme value index; Heavy-tails; Kernel estimation; Product-limit estimator; Random truncation (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spl.2016.08.004

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