Estimating the Second-Order Parameter of Regular Variation and Bias Reduction in Tail Index Estimation Under Random Truncation

Journal of Statistical Theory and Practice - Tập 13 - Trang 1-33 - 2018
Nawel Haouas1, Abdelhakim Necir1, Brahim Brahimi1
1 Laboratory of Applied Mathematics, Mohamed Khider University, Biskra, Algeria

Tóm tắt

In this paper, we proposed an estimator of the second-order parameter of randomly truncated Pareto-type distributions data and establish its consistency and asymptotic normality. Moreover, we derive an asymptotically unbiased estimator for the tail index and study its limit distribution. We show, by simulation, that the proposed estimators behave well, in terms of bias, root mean square error and standard error.

Tài liệu tham khảo

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