Censoring estimators of a positive tail index

M. Ivette Gomes and Orlando Oliveira

Statistics & Probability Letters, 2003, vol. 65, issue 3, 147-159

Abstract: In this paper, and in the context of regularly varying tails, we analyse some variants of a maximum likelihood estimator of a positive tail index [gamma], under a type II censoring scheme. These estimators are compared with the Hill estimator, for a Fréchet model and by means of a Monte Carlo simulation. Asymptotic normality of the estimators is derived, and a robustness simulation study of the estimators is undertaken.

Keywords: Statistical; theory; of; extremes; Semi-parametric; estimation (search for similar items in EconPapers)
Date: 2003
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