Estimating extreme quantiles under random truncation


Seminar Probabilités & Statistique

28/05/2015 - 14:00 Mr Laurent Gardes (Université de Strasbourg) Salle 1 - Tour IRMA

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.