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Bias reduced tail estimation for censored Pareto type distributions.

Authors :
Beirlant, J.
Bardoutsos, A.
de Wet, T.
Gijbels, I.
Source :
Statistics & Probability Letters. Feb2016, Vol. 109, p78-88. 11p.
Publication Year :
2016

Abstract

We consider bias reduced estimators for the tail index and tail probabilities under random right censoring in case of Pareto-type distributions. The solution is based on second-order refined peaks-over-threshold modelling as developed in Beirlant et al. (2009). [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
*PARETO distribution
*ESTIMATION theory
*CENSORING (Statistics)
*MATHEMATICAL models
*MATHEMATICAL analysis

Details

Language :
English
ISSN :
01677152
Volume :
109
Database :
Academic Search Index
Journal :
Statistics & Probability Letters
Publication Type :
Periodical
Accession number :
111825736
Full Text :
https://doi.org/10.1016/j.spl.2015.10.016
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