A unified full-range framework for tail-index estimation under random censoring that restores uniform Gaussian approximation and asymptotic normality for any censoring strength via a weighted truncated Nelson-Aalen process.
D., Thomas, M., 2007
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Weighted and Truncated Tail Index Estimation under Random Censoring: A Unified Full-Range Framework
A unified full-range framework for tail-index estimation under random censoring that restores uniform Gaussian approximation and asymptotic normality for any censoring strength via a weighted truncated Nelson-Aalen process.