Bayesian estimation of the tail index of a heavy tailed distribution under random censoring

Published 2016 View Full Article

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Title
Bayesian estimation of the tail index of a heavy tailed distribution under random censoring
Authors
Keywords
Extreme value modeling, Random censoring, Maximum a posteriori estimator, Mean posterior estimator, Asymptotic normality of posterior, Simulations
Journal
COMPUTATIONAL STATISTICS & DATA ANALYSIS
Volume 104, Issue -, Pages 148-168
Publisher
Elsevier BV
Online
2016-07-12
DOI
10.1016/j.csda.2016.06.009

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