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.
UDC:519.2
Received: 10.09.2020 Received in revised form: 10.12.2020 Accepted: 20.02.2021