Peaks-Over-Threshold Modeling Under Random Censoring

DOI10.1080/03610920902859599zbMath1284.62612OpenAlexW2019293303MaRDI QIDQ3566560

Gwladys Toulemonde, Jan Beirlant, Armelle Guillou

Publication date: 8 June 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920902859599

zbMATH Keywords

asymptotic normalityrandom censoringNewton-Raphson algorithmextreme value index

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Estimation in survival analysis and censored data (62N02)

Related Items (14)

Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring ⋮ Functional kernel estimation of the conditional extreme value index under random right censoring ⋮ On the study of extremes with dependent random right-censoring ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ Nonparametric estimation of conditional cure models for heavy-tailed distributions and under insufficient follow-up ⋮ Nonparametric estimation of the conditional extreme-value index with random covariates and censoring ⋮ Estimating the conditional extreme-value index under random right-censoring ⋮ Estimation of extreme survival probabilities with cox model ⋮ New estimators of the extreme value index under random right censoring, for heavy-tailed distributions ⋮ 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 ⋮ Estimation of extremes for heavy-tailed and light-tailed distributions in the presence of random censoring ⋮ Estimating extreme quantiles under random truncation

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• Statistics of Extremes
• Statistical models based on counting processes

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