Article ID Journal Published Year Pages File Type
1151322 Statistics & Probability Letters 2016 12 Pages PDF
Abstract
In the framework of heavy-tailed randomly truncated data, a new estimator is proposed for the extreme value index in a natural Lynden-Bell integral form. Extreme quantiles are also estimated, and the asymptotic normality is established under mild assumptions.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
A Lynden-Bell integral estimator for extremes of randomly truncated data
Authors
, ,