Estimating the conditional extreme-value index under random right-censoring

DOI10.1016/j.jmva.2015.10.015zbMath1328.62220OpenAlexW2192909938MaRDI QIDQ901273

Gilles Stupfler

Publication date: 23 December 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.10.015

zbMATH Keywords

consistencyasymptotic normalityextreme-value indexrandom covariaterandom right-censoring

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Censored data models (62N01) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Estimation in survival analysis and censored data (62N02)

Related Items

Handling missing extremes in tail estimation ⋮ Functional kernel estimation of the conditional extreme value index under random right censoring ⋮ On the study of extremes with dependent random right-censoring ⋮ Efficient estimation of partially linear tail index models using B‐splines ⋮ Robust estimation of the Pickands dependence function under random right censoring ⋮ Nonparametric estimation of conditional cure models for heavy-tailed distributions and under insufficient follow-up ⋮ Estimation of extreme survival probabilities with cox model ⋮ Local robust estimation of Pareto-type tails with random right censoring ⋮ Estimation of extremes for Weibull-tail distributions in the presence of random censoring ⋮ On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails ⋮ Trimmed extreme value estimators for censored heavy-tailed data ⋮ A nonparametric estimator for the conditional tail index of Pareto-type distributions ⋮ Bias-corrected estimation for conditional Pareto-type distributions with random right censoring ⋮ Tail index varying coefficient model ⋮ Estimation of extremes for heavy-tailed and light-tailed distributions in the presence of random censoring

Uses Software

• R
• MASS (R)

Cites Work

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