Resumen de Estimating extreme quantiles under random truncation

Laurent Gardes, Gilles Stupfler

• The goal of this paper is to provide estimators of the tail index and extreme quantiles of a heavy-tailed random variable when it is right truncated. The weak consistency and asymptotic normality of the estimators are established. The finite sample performance of our estimators is illustrated on a simulation study and we showcase our estimators on a real set of failure data