Estimation of the extreme value index in a censorship framework: asymptotic and finite sample behavior

DOI10.1016/J.JSPI.2019.01.004zbMath1418.62214arXiv1804.06583OpenAlexW2964180241WikidataQ128462515 ScholiaQ128462515MaRDI QIDQ2317305

Rym Worms, Jan Beirlant, Julien Worms

Publication date: 9 August 2019

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.06583

zbMATH Keywords

random censoringasymptotic representationextreme value indextail inference

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Estimation in survival analysis and censored data (62N02)

Related Items (7)

Extremes of censored and uncensored lifetimes in survival data ⋮ Functional kernel estimation of the conditional extreme value index under random right censoring ⋮ Estimation of extremes for Weibull-tail distributions in the presence of random censoring ⋮ Conditional tail moment and reinsurance premium estimation under random right censoring ⋮ Estimating the conditional tail expectation of randomly right-censored heavy-tailed data ⋮ Trimmed extreme value estimators for censored heavy-tailed data ⋮ Estimation of extremes for heavy-tailed and light-tailed distributions in the presence of random censoring

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