Abstract:
Inspired by L. Peng's work on estimating the mean of heavy-tailed distribution in the case of completed data. we propose an alternative estimator and study its asymptotic normality when it comes to the right truncated random variable. A simulation study is executed to evaluate the finite sample behavior on the proposed estimator.
Keywords:random truncation, Hill estimator, Lynden-Bell estimator, heavy-tailed distributions.
Received: 10.09.2020 Received in revised form: 10.12.2020 Accepted: 20.02.2021
Bibliographic databases:
Document Type:
Article
UDC:519.2
Language: English
Citation:
Ben Dahmane Khanssa, Benatia Fateh, Brahimi Brahim, “Estimating the mean of heavy-tailed distribution under random truncation”, J. Sib. Fed. Univ. Math. Phys., 14:3 (2021), 273–286
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\by Ben~Dahmane~Khanssa, Benatia~Fateh, Brahimi~Brahim
\paper Estimating the mean of heavy-tailed distribution under random truncation
\jour J. Sib. Fed. Univ. Math. Phys.
\yr 2021
\vol 14
\issue 3
\pages 273--286
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\crossref{https://doi.org/10.17516/1997-1397-2021-14-3-273-286}
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https://www.mathnet.ru/eng/jsfu913
https://www.mathnet.ru/eng/jsfu/v14/i3/p273
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