A Lynden-Bell integral estimator for extremes of randomly truncated data

J. Worms and R. Worms

Statistics & Probability Letters, 2016, vol. 109, issue C, 106-117

Abstract: In the framework of heavy-tailed randomly truncated data, a new estimator is proposed for the extreme value index in a natural Lynden-Bell integral form. Extreme quantiles are also estimated, and the asymptotic normality is established under mild assumptions.

Keywords: Extreme values index; Extreme quantiles; Truncated data; Lynden-Bell estimator (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2015.11.011

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