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
Estimation of a bivariate conditional copula when a variable is subject to random right censoring
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DOI: 10.1214/19-ejs1645
Abstract: Abstract: This paper concerns the dependence structure of a random pair (Y1, Y2) conditionally upon a covariate X in the case where the variable Y1 is subject to random right censoring. The dependence structure is… read more here.
Keywords: variable subject; subject random; right censoring; random ... See more keywords