Pareto Index Estimation Under Moderate Right Censoring

DOI10.1080/03461230152592764zbMath0979.91047OpenAlexW2119173195MaRDI QIDQ2759549

Jan Beirlant, Armelle Guillou

Publication date: 12 December 2001

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230152592764

zbMATH Keywords

asymptotic normalitymaximum likelihoodcensoringstrong consistencyPareto index

Mathematics Subject Classification ID

Related Items (13)

Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring ⋮ Estimation and inference about tail features with tail censored data ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ Nonparametric estimation of conditional cure models for heavy-tailed distributions and under insufficient follow-up ⋮ Bayesian modelling of the time delay between diagnosis and settlement for critical illness insurance using a Burr generalised-linear-type model ⋮ Inference about the tail of a distribution: improvement on the Hill estimator ⋮ Understanding Heavy Tails in a Bounded World or, is a Truncated Heavy Tail Heavy or Not? ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Almost sure convergence of a tail index estimator in the presence of censoring. ⋮ Estimating catastrophic quantile levels for heavy-tailed distributions ⋮ Strong convergence bound of the Pareto index estimator under right censoring ⋮ Estimation of the extreme value index and extreme quantiles under random censoring ⋮ Estimating extreme quantiles under random truncation

Cites Work

• Unnamed Item
• Tail estimates motivated by extreme value theory
• A moment estimator for the index of an extreme-value distribution
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Laws of large numbers for sums of extreme values
• A simple general approach to inference about the tail of a distribution
• Tail index estimation and an exponential regression model
• Weak limiting behaviour of a simple tail Pareto-index estimator
• The qq-estimator and heavy tails
• Central limit theorems for sums of extreme values
• Almost sure convergence of the Hill estimator
• Estimation of the Minimum of a Function Using Order Statistics
• Limit theorems for the ratio of the empirical distribution function to the true distribution function
• Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics

This page was built for publication: Pareto Index Estimation Under Moderate Right Censoring