Bias reduced tail estimation for censored Pareto type distributions

© 2015 Elsevier B.V. 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).

Publication year:2016

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CSS-citation score:2

Authors:International

Authors from:Higher Education