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

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 t...

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Veröffentlicht in:	Sankhya A 2021-02, Vol.83 (1), p.70-108
Hauptverfasser:	Dierckx, Goedele, Goegebeur, Yuri, Guillou, Armelle
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics Mathematics and Statistics Statistical Theory and Methods Statistics Statistics and Computing/Statistics Programs
Online-Zugang:	Volltext
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