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

DOI10.1016/S1631-073X(02)02486-XzbMATH Open1140.60314MaRDI QIDQ700313FDOQ700313

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)

Cites Work

• Title not available (Why is that?)
• A simple general approach to inference about the tail of a distribution
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• 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
• Pareto Index Estimation Under Moderate Right Censoring

Cited In (5)

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

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