Abstract #300895


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JSM 2002 Abstract #300895
Activity Number: 48
Type: Contributed
Date/Time: Sunday, August 11, 2002 : 4:00 PM to 5:50 PM
Sponsor: Business & Economics Statistics Section*
Abstract - #300895
Title: The Impact of Data Censoring on Tail Index Estimation
Author(s): Nuno Crato*+
Affiliation(s): Technical University of Lisbon
Address: R. Miguel Lupi 20, Lisbon, International, 1200, Portugal
Keywords: stable distributions ; censoring ; infinite variance
Abstract:

Extreme data truncation is common, both with geophysical and economic data. In general, the problem is avoided and the analysis is performed disregarding this truncation. However, estimation of the maximal moment exponent can be highly biased when data are censored. We present an evaluation of this bias and ways of dealing with this problem. Finally, we show how some common conclusions should be reassessed in light of these results.


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