Tail empirical process for truncated data with application to extreme value index estimation
Séminaire Probabilités & Statistique
22/10/2015 - 14:00 Abdelhakim Necir (Mohamed Khider University of Biskra (Algérie))
A weighted Gaussian approximation to tail empirical process for Pareto-like distributions of randomly right-truncated data is provided and a new consistent and asymptotically normal estimator of the extreme value index is derived. A simulation study is carried out to illustrate the performance of the proposed estimator. Keywords: Empirical process; Extreme value index; Heavy-tails; Hill estimator; Lynden-Bell estimator; Random truncation.