Robust estimation of the extreme value index of Pareto-type distributions under random truncation with applications

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 integral and a useful huberized M-functional and M-estimators of the tail index. A simulation study is carried out to evaluate the robustness and the nite sample behavior of the proposed estimator.  Extreme quantiles estimation is also derived and applied to real data-set of lifetimes of automobile brake pads.