Title: On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
Authors: Gilles Stupfler - ENSAI - CREST (France) [presenting]
Abstract: Motivated by theoretical similarities between the classical Hill estimator of the tail index of a heavy-tailed distribution and one of its pseudo-estimator versions featuring a non-random threshold, we show a novel asymptotic representation of a class of empirical average excesses above a high random threshold, expressed in terms of order statistics, using their counterparts based on a suitable non-random threshold, which are sums of independent and identically distributed random variables. As a consequence, the analysis of the joint convergence of such empirical average excesses essentially boils down to a combination of Lyapunov's central limit theorem and the Cramer-Wold device. We illustrate how this allows us to improve upon, as well as produce conceptually simpler proofs of, very recent results about the joint convergence of marginal Hill estimators for a random vector with heavy-tailed marginal distributions. These results are then applied to the proof of a convergence result for a tail index estimator when the heavy-tailed variable of interest is randomly right-truncated.