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Estimating the conditional tail expectation of randomly right-censored heavy-tailed data - MaRDI portal

Estimating the conditional tail expectation of randomly right-censored heavy-tailed data

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Publication:6581638

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DOI10.1007/s42519-024-00383-6zbMath1542.62069MaRDI QIDQ6581638

Djamel Meraghni, Nour Elhouda Guesmia, Louiza Soltane

Publication date: 31 July 2024

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

zbMATH Keywords

extreme values random censoring Kaplan-Meier estimator Hill estimator conditional tail expectation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Estimation in survival analysis and censored data (62N02)

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