A new tail-index estimator blends censored-data Hill estimates with expert guesses through an entropy-perturbed likelihood, and reduces to a simple weighted harmonic mean when the expert is correct.
New estimators of the extreme value index under random right censoring, for heavy-tailed distributions
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Combined Tail Estimation Using Censored Data and Expert Information
A new tail-index estimator blends censored-data Hill estimates with expert guesses through an entropy-perturbed likelihood, and reduces to a simple weighted harmonic mean when the expert is correct.