Local Robust Estimation of Pareto-Type Tails with Random Right Censoring

Goedele Dierckx, Yuri Goegebeur*, Armelle Guillou

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Abstrakt

We propose a nonparametric robust estimator for the tail index of a conditional Pareto-type distribution in the presence of censoring and random covariates. The censored distribution is also of Pareto-type and the index is estimated locally within a narrow neighbourhood of the point of interest in the covariate space using the minimum density power divergence method. The main asymptotic properties of our robust estimator are derived under mild regularity conditions and its finite sample performance is illustrated on a small simulation study. A real data example is included to illustrate the practical applicability of the estimator.

OriginalsprogEngelsk
TidsskriftSankhya A
Vol/bind83
Udgave nummer1
Sider (fra-til)70-108
ISSN0976-836X
DOI
StatusUdgivet - feb. 2021

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