Estimating extreme quantiles under random truncation

• Laurent Gardes ^[1] ; Gilles Stupfler ^[2]
  1. [1] University of Strasbourg

     University of Strasbourg

     Arrondissement de Strasbourg-Ville, Francia

     
  2. [2] Aix Marseille Université
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 24, Nº. 2, 2015, págs. 207-227
• Idioma: inglés
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• Resumen

  • 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