Estimating extreme quantiles under random truncation
Gardes, Laurent ; Stupfler, Gilles
HAL, hal-00942134 / Harvested from HAL
Text on HAL
The goal of this paper is to provide estimators of the tail index and extreme quantiles of a heavy-tailed random variable when it is right-truncated. The weak consistency and asymptotic normality of the estimators are established. The finite sample performance of our estimators is illustrated on a simulation study and we showcase our estimators on a real set of failure data..
Publié le : 2014-02-04
Classification:  tail index,  Heavy-tailed distribution,  extreme quantile,  consistency,  asymptotic normality,  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST],  [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH] 
@article{hal-00942134,
     author = {Gardes, Laurent and Stupfler, Gilles},
     title = {Estimating extreme quantiles under random truncation},
     journal = {HAL},
     volume = {2014},
     number = {0},
     year = {2014},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00942134}
}

Gardes, Laurent; Stupfler, Gilles. Estimating extreme quantiles under random truncation. HAL, Tome 2014 (2014) no. 0, . http://gdmltest.u-ga.fr/item/hal-00942134/