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Kernel estimation of the tail index of a right-truncated Pareto-type distribution (1512.00425v1)
Published 1 Dec 2015 in math.ST and stat.TH
Abstract: In this paper, we define a kernel estimator for the tail index of a Pareto-type distribution under random right-truncation and establish its asymptotic normality. A simulation study shows that, compared to the estimators recently proposed by Gardes & Stupfler (2015) and Benchaira et al. (2015), this newly introduced estimator behaves better, in terms of bias and mean squared error, for small samples.