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- W2050486587 abstract "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." @default.
- W2050486587 created "2016-06-24" @default.
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- W2050486587 date "2011-01-01" @default.
- W2050486587 modified "2023-09-27" @default.
- W2050486587 title "Asymptotic Normality of Hill Estimator for Truncated Data" @default.
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- W2050486587 doi "https://doi.org/10.1214/ejp.v16-935" @default.
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