Kernel estimation for the tail index of a right-censored Pareto-type distribution
Abdelhakim Necir,
Louiza Soltane
Abstract:We introduce a kernel estimator, to the tail index of a right-censored Pareto-type distribution, that generalizes Worms's one (Worms and Worms, 2014) in terms of weight coefficients. Under some regularity conditions, the asymptotic normality of the proposed estimator is established. In the framework of the second-order condition, we derive an asymptotically bias-reduced version to the new estimator.Through a simulation study, we conclude that one of the main features of the proposed kernel estimator is its smo… Show more
Set email alert for when this publication receives citations?
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.