Bayesian estimation of the tail index of a heavy tailed distribution under random censoring
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Publication:1658734
DOI10.1016/j.csda.2016.06.009zbMath1466.62019OpenAlexW2465009132MaRDI QIDQ1658734
Abdelkader Ameraoui, Kamal Boukhetala, Jean-François Dupuy
Publication date: 15 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2016.06.009
random censoringsimulationsmaximum a posteriori estimatorasymptotic normality of posteriorextreme value modelingmean posterior estimator
Related Items (3)
Penalized bias reduction in extreme value estimation for censored Pareto-type data, and long-tailed insurance applications ⋮ Combined tail estimation using censored data and expert information ⋮ An enhanced method for tail index estimation under missingness
Uses Software
Cites Work
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