Bias-corrected estimation for conditional Pareto-type distributions with random right censoring

Yuri Goegebeur*, Jing Qin, Armelle Guillou

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Abstrakt

We consider bias-reduced estimation of the extreme value index in conditional Pareto-type models with random covariates when the response variable is subject to random right censoring. The bias-correction is obtained by fitting the extended Pareto distribution locally to the relative excesses over a high threshold using the maximum likelihood method. Convergence in probability and asymptotic normality of the estimators are established under suitable assumptions. The finite sample behaviour is illustrated with a simulation experiment and the method is applied to two real datasets.

OriginalsprogEngelsk
TidsskriftExtremes
Vol/bind22
Udgave nummer3
Sider (fra-til)459-498
ISSN1386-1999
DOI
StatusUdgivet - 15. sep. 2019

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