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Estimating extreme quantiles under random truncation

Abstract : 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.
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Submitted on : Friday, February 3, 2017 - 11:58:26 PM
Last modification on : Tuesday, February 8, 2022 - 10:53:45 AM

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Laurent Gardes, Gilles Stupfler. Estimating extreme quantiles under random truncation. Test, Spanish Society of Statistics and Operations Research/Springer, 2015, 24 (2), pp.207--227. ⟨10.1007/s11749-014-0403-5⟩. ⟨hal-01456111⟩

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