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B0175
Title: Tail product-limit process for truncated data with application to extreme value index estimation Authors:  Abdelhakim Necir - Mohamed Khider University of Biskra (Algeria) [presenting]
Abstract: A weighted Gaussian approximation to tail product-limit processes for Pareto-like distributions of randomly right-truncated data is provided and a new consistent and asymptotically normal estimator of the extreme value index is introduced. Moreover, we propose an estimator of the second-order parameter and an asymptotically unbiased estimator for the tail index and establish their asymptotic normality. A simulation study is carried out to evaluate the finite sample behavior of the proposed estimators and compare it to one recently proposed. Also, a new approach of estimating extreme quantiles, under random right truncation, is derived and applied to a real dataset of lifetimes of automobile brake pads.