Aller au contenu principal
Accueil

AFRIMATH

  • Séminaires AFRIMath
  • Membres
  • Conférences
  • Publications
  • Actualités
  • Partenaires
  • Contact
  • Devenir membre
  • Logos AFRIMath

Extreme quantile estimation for censored heavy-tailed data

Jean-François Dupuy
Université de Rennes - INSA
Séminaire Probabilités et Statistique
mer 13/12/2023 - 17:00 mer 13/12/2023 - 18:15

Bayesian estimation of the tail index of a heavy-tailed distribution is addressed when data are randomly right-censored. Maximum a posteriori and mean posterior estimators are constructed for various prior distributions of the tail index. Their finite-sample properties are investigated via simulations. Tail index estimation requires selecting an appropriate threshold for constructing relative excesses. A Monte Carlo procedure is proposed for tackling this issue. Finally, the proposed estimators are illustrated on a medical dataset.

Activités à venir

Conférences
AFRIMath 2026 -- First conference of the MaGA project (Mathematics in Gabon for Africa)

L'évènement se deroulera le 13/04/2026
Cap Skirring, Sénégal
de 09:00 à 17:00

Partenaires

  • Nantes Université
  • CNRS
  • LMJL
Contact Mentions legales