Bias reduced tail estimation for censored Pareto type distributions

J. Beirlant, A. Bardoutsos, T. de Wet and I. Gijbels

Statistics & Probability Letters, 2016, vol. 109, issue C, 78-88

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).

Keywords: Pareto type model; Random right censoring; Bias reduction; Extended Pareto distribution (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2015.10.016

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