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

2015/12/01 by Souad Benchaira, Benchaira, Souad, Djamel Meraghni +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #Financial Risk and Volatility Modeling #Statistical Distribution Estimation and Applications #Statistical Methods and Inference

paper · pdf · doi:10.48550/arxiv.1512.00425

Abstract

In this paper, we define a kernel estimator for the tail index of a\nPareto-type distribution under random right-truncation and establish its\nasymptotic normality. A simulation study shows that, compared to the estimators\nrecently proposed by Gardes & Stupfler (2015) and Benchaira et al. (2015), this\nnewly introduced estimator behaves better, in terms of bias and mean squared\nerror, for small samples.\n

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• Nelson-Aalen kernel estimator to the tail index of right censored Pareto-type data

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