Bias Reduction in Kernel Tail Index Estimation for Randomly Truncated Pareto-Type Data

Saida Mancer (), Abdelhakim Necir () and Souad Benchaira ()
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Saida Mancer: Mohamed Khider University of Biskra
Abdelhakim Necir: Mohamed Khider University of Biskra
Souad Benchaira: Mohamed Khider University of Biskra

Sankhya A: The Indian Journal of Statistics, 2023, vol. 85, issue 2, No 16, 1510-1547

Abstract: Abstract A bias reduction to a kernel estimator of the tail index of randomly right-truncated Pareto-type distributions is made. The asymptotic normality of the derived estimator is established by assuming the second-order condition of regular variation. A simulation study is carried out to evaluate the finite sample behavior of the proposed estimator and compare it to those with non-reduced bias. An application to a real dataset of lifetimes of automobile brake pads is done.

Keywords: Bias reduction; extreme value index; kernel estimation; truncated data.; Primary 62G32, 62G20; Secondary 65C05 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s13171-022-00303-5

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