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Bias reduced tail estimation for censored Pareto type distributions
Journal Contribution - Journal Article
© 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).
Journal: Statistics & Probability Letters
Pages: 78 - 88