Abstract:It was shown that when one disposes of a parametric information of the truncation distribution, the semiparametric estimator of the distribution function for truncated data (Wang, 1989) is more efficient than the nonparametric one. On the basis of this estimation method, we derive an estimator for the tail index of Paretotype distributions that are randomly right-truncated and establish its consistency and asymptotic normality. The finite sample behavior of the proposed estimator is carried out by simulation s… Show more
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