Bias reduced tail estimation for censored Pareto type distributions

DOI10.1016/J.SPL.2015.10.016zbMath1383.62151OpenAlexW2207472999MaRDI QIDQ899640

Irène Gijbels, A. Bardoutsos, Jan 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

zbMATH Keywords

bias reductionextended Pareto distributionPareto type modelrandom right censoring

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Censored data models (62N01) Statistics of extreme values; tail inference (62G32)

Related Items (12)

On the study of extremes with dependent random right-censoring ⋮ Robust estimation of the Pickands dependence function under random right censoring ⋮ Penalized bias reduction in extreme value estimation for censored Pareto-type data, and long-tailed insurance applications ⋮ Bias reduction in kernel tail index estimation for randomly truncated Pareto-type data ⋮ Local robust estimation of Pareto-type tails with random right censoring ⋮ Estimation of extremes for Weibull-tail distributions in the presence of random censoring ⋮ On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails ⋮ Trimmed extreme value estimators for censored heavy-tailed data ⋮ Estimation of the extreme value index in a censorship framework: asymptotic and finite sample behavior ⋮ Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation ⋮ Bias-corrected estimation for conditional Pareto-type distributions with random right censoring ⋮ Estimation of extremes for heavy-tailed and light-tailed distributions in the presence of random censoring

Cites Work

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• Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
• 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

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