| Título: | Asymptotic Normality of Hill Estimator for Truncated Data |
| Autores: | Chakrabarty, Arijit; Indian Statistical Institute |
| Fecha: | 2011-01-01 |
| Publicador: | Electronic journal of probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
heavy tails, truncation, second order regular variation, Hill estimator, asymptotic normality 62G32 |
| Descripción: | The problem of estimating the tail index from truncated data is addressed in [2]. In that paper, a sample based (and hence random) choice of k is suggested, and it is shown that the choice leads to a consistent estimator of the inverse of the tail index. In this paper, the second order behavior of the Hill estimator with that choice of k is studied, under some additional assumptions. In the untruncated situation, asymptotic normality of the Hill estimator is well known for distributions whose tail belongs to the Hall class, see [11]. Motivated by this, we show the same in the truncated case for that class. |
| Idioma: | No aplica |
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