Estimating extreme quantiles under random truncation
Résumé
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..
Origine : Fichiers produits par l'(les) auteur(s)
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