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20102018
most citedEmpirical Likelihood based Confidence Regions for first order parameters of a heavy tailed distribution

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math.ST2018★ 1 cited

Estimation of the extreme value index in a censorship framework: asymptotic and finite sample behaviour

Jan Beirlant, Julien Worms, Rym Worms

We revisit the estimation of the extreme value index for randomly censored data from a heavy tailed distribution. We introduce a new class of estimators which encompasses earlier p…