Kernel estimation of the tail index of a right-truncated Pareto-type distribution

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• 作者：Souad Benchaira ^{benchaira.s@hotmail.fr" class="auth_mail" title="E-mail the corresponding author} ; Djamel Meraghni ^{djmeraghni@yahoo.com" class="auth_mail" title="E-mail the corresponding author} ; Abdelhakim Necir ; ^{necirabdelhakim@yahoo.fr" class="auth_mail" title="E-mail the corresponding author}
• 关键词：60F17 ; 62G30 ; 62G32 ; 62P05
• 刊名：Statistics & Probability Letters
• 出版年：2016
• 出版时间：December 2016
• 年：2016
• 卷：119
• 期：Complete
• 页码：186-193
• 全文大小：421 K

文摘

An asymptotically normal kernel estimator for the positive tail index of right-truncated data is introduced. A simulation study shows that the proposed estimator performs much better than the existing ones in terms of bias.