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most citedStrikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations

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math.ST2021

Trimmed extreme value estimators for censored heavy-tailed data

Martin Bladt, Hansjoerg Albrecher, Jan Beirlant

We consider estimation of the extreme value index and extreme quantiles for heavy-tailed data that are right-censored. We study a general procedure of removing low importance obser…