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- W2885305422 abstract "We consider robust nonparametric estimation of the Pickands dependence function under random right censoring. The estimator is obtained by applying the minimum density power divergence criterion to properly transformed bivariate observations. The asymptotic properties are investigated by making use of results for Kaplan–Meier integrals. We investigate the finite sample properties of the proposed estimator with a simulation experiment and illustrate its practical applicability on a dataset of insurance indemnity losses." @default.
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- W2885305422 date "2019-07-01" @default.
- W2885305422 modified "2023-09-30" @default.
- W2885305422 title "Robust estimation of the Pickands dependence function under random right censoring" @default.
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- W2885305422 doi "https://doi.org/10.1016/j.insmatheco.2019.03.008" @default.
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