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.
Originalsprog | Engelsk |
---|---|
Tidsskrift | Extremes |
Vol/bind | 22 |
Udgave nummer | 3 |
Sider (fra-til) | 459-498 |
ISSN | 1386-1999 |
DOI | |
Status | Udgivet - 15. sep. 2019 |