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).

Jaar van publicatie:2016

BOF-keylabel:ja

IOF-keylabel:ja

BOF-publication weight:0.1

CSS-citation score:2

Auteurs:International

Authors from:Higher Education