Almost sure convergence of a tail index estimator in the presence of censoring.

DOI10.1016/S1631-073X(02)02486-XzbMath1140.60314MaRDI QIDQ700313

Armelle Guillou, Emmanuel Delafosse

Publication date: 30 September 2002

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Mathematics Subject Classification ID

Point estimation (62F10) Strong limit theorems (60F15)

Related Items (4)

Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring ⋮ Functional kernel estimation of the conditional extreme value index under random right censoring ⋮ Nonparametric estimation of the conditional extreme-value index with random covariates and censoring ⋮ Estimating catastrophic quantile levels for heavy-tailed distributions

Cites Work

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• A simple general approach to inference about the tail of a distribution
• Pareto Index Estimation Under Moderate Right Censoring
• Central limit theorems for sums of extreme values
• Almost sure convergence of the Hill estimator
• The law of the iterated logarithm for normalized empirical distribution function
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations

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