Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
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DOI: 10.1007/s10687-019-00341-7
Abstract: 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… read more here.
Keywords: pareto; conditional pareto; pareto type; right censoring ... See more keywords