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Bias reduced tail estimation for censored Pareto type distributions

Author

Listed:
  • Beirlant, J.
  • Bardoutsos, A.
  • de Wet, T.
  • Gijbels, I.

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).

Suggested Citation

  • Beirlant, J. & Bardoutsos, A. & de Wet, T. & Gijbels, I., 2016. "Bias reduced tail estimation for censored Pareto type distributions," Statistics & Probability Letters, Elsevier, vol. 109(C), pages 78-88.
    • Handle: RePEc:eee:stapro:v:109:y:2016:i:c:p:78-88
    DOI: 10.1016/j.spl.2015.10.016
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    Citations

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    Cited by:

    1. Goegebeur, Yuri & Guillou, Armelle & Qin, Jing, 2019. "Robust estimation of the Pickands dependence function under random right censoring," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 101-114.
    2. Beirlant, J. & Maribe, G. & Verster, A., 2018. "Penalized bias reduction in extreme value estimation for censored Pareto-type data, and long-tailed insurance applications," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 114-122.
    3. Saida Mancer & Abdelhakim Necir & Souad Benchaira, 2023. "Bias Reduction in Kernel Tail Index Estimation for Randomly Truncated Pareto-Type Data," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(2), pages 1510-1547, August.
    4. Goedele Dierckx & Yuri Goegebeur & Armelle Guillou, 2021. "Local Robust Estimation of Pareto-Type Tails with Random Right Censoring," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 70-108, February.

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