Publication Details

AFRICAN RESEARCH NEXUS

SHINING A SPOTLIGHT ON AFRICAN RESEARCH

decision sciences

Bias reduced tail estimation for censored Pareto type distributions

Statistics and Probability Letters, Volume 109, Year 2016

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).

Statistics
Citations: 23
Authors: 4
Affiliations: 4
Identifiers
Doi: 10.1016/j.spl.2015.10.016
ISSN: 01677152

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