Title: Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
Authors: Yuri Goegebeur - University of Southern Denmark (Denmark) [presenting]
Armelle Guillou - Strasbourg university (France)
Jing Qin - University of Southern Denmark (Denmark)
Abstract: Bias-reduced estimation of the extreme value index is considered 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 distribution locally to the relative excesses over a high threshold using the maximum likelihood method. Consistency and asymptotic normality of the estimators are established under suitable assumptions. The finite sample behaviour is illustrated with a simulation experiment and the method is applied to some real data sets.