Bias reduced tail estimation for censored Pareto type distributions
DOI10.1016/J.SPL.2015.10.016zbMATH Open1383.62151OpenAlexW2207472999MaRDI QIDQ899640FDOQ899640
Irène Gijbels, A. Bardoutsos, J. Beirlant, Tertius de Wet
Publication date: 30 December 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2015.10.016
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Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Censored data models (62N01) Statistics of extreme values; tail inference (62G32)
Cites Work
- Statistics of Extremes
- Adaptive estimates of parameters of regular variation
- A simple general approach to inference about the tail of a distribution
- A new class of semi-parametric estimators of the second order parameter.
- Statistics of extremes under random censoring
- Estimation of the extreme value index and extreme quantiles under random censoring
- New estimators of the extreme value index under random right censoring, for heavy-tailed distributions
- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
- Title not available (Why is that?)
Cited In (15)
- Conditional tail moment and reinsurance premium estimation under random right censoring
- Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation
- Estimation of the extreme value index in a censorship framework: asymptotic and finite sample behavior
- On the study of extremes with dependent random right-censoring
- Estimating the conditional tail expectation of randomly right-censored heavy-tailed data
- Local robust estimation of Pareto-type tails with random right censoring
- Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
- On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
- Estimation of extremes for Weibull-tail distributions in the presence of random censoring
- Trimmed extreme value estimators for censored heavy-tailed data
- Estimation of extremes for heavy-tailed and light-tailed distributions in the presence of random censoring
- Robust estimation of the Pickands dependence function under random right censoring
- Bias reduction in kernel tail index estimation for randomly truncated Pareto-type data
- Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
- Penalized bias reduction in extreme value estimation for censored Pareto-type data, and long-tailed insurance applications
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