Robust estimation of the extreme value index of Pareto-type distributions under random truncation with applications
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DOI: 10.18187/pjsor.v17i1.2735
Abstract: In this paper, we introduce a new robust estimator for the extreme value index of Pareto-type distributions under randomly right-truncated data and establish its consistency and asymptotic normality. Our considerations are based on the Lynden-Bell… read more here.
Keywords: pareto type; index pareto; value index; extreme value ... See more keywords