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math.ST2011
Bias-reduced estimators of the Weibull tail-coefficient
J. Diebolt, L. Gardes, S. Girard +1
In this paper, we consider the problem of the estimation of a Weibull tail-coefficient. In particular, we propose a regression model, from which we derive a bias-reduced estimator.…
math.ST2008★ 83 cited
Statistics of extremes under random censoring
John H. J. Einmahl, Amélie Fils-Villetard, Armelle Guillou
We investigate the estimation of the extreme value index when the data are subject to random censorship. We prove, in a unified way, detailed asymptotic normality results for vario…