Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring
DOI10.1016/J.CSDA.2014.05.007zbMATH Open1506.62134OpenAlexW2053278527WikidataQ59245352 ScholiaQ59245352MaRDI QIDQ1623653FDOQ1623653
Pathé Ndao, Jean-François Dupuy, Aliou Diop
Publication date: 23 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2014.05.007
simulationsheavy-tailed distributionconditional extreme quantilesmoving windowconditional extreme value index
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to biology and medical sciences; meta analysis (62P10) Statistics of extreme values; tail inference (62G32)
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Cited In (15)
- Estimation of the extreme value index in a censorship framework: asymptotic and finite sample behavior
- On the study of extremes with dependent random right-censoring
- Estimating the conditional tail expectation of randomly right-censored heavy-tailed data
- Quantile regression for panel data models with fixed effects under random censoring
- Local robust estimation of Pareto-type tails with random right censoring
- Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
- On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
- Estimation of extremes for Weibull-tail distributions in the presence of random censoring
- 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
- Estimation of extreme survival probabilities with cox model
- On robust tail index estimation under random censorship
- Estimating the conditional extreme-value index under random right-censoring
- Nonparametric estimation of the conditional extreme-value index with random covariates and censoring
- Tail and quantile estimation for real-valued \(\beta\)-mixing spatial data
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