Extreme value statistics for censored data with heavy tails under competing risks

DOI10.1007/S00184-018-0662-3zbMATH Open1401.62076arXiv1701.05458OpenAlexW2579931581WikidataQ129775942 ScholiaQ129775942MaRDI QIDQ1785799FDOQ1785799

Authors: Julien Worms, Rym Worms 

Publication date: 1 October 2018

Published in: Metrika (Search for Journal in Brave)

Abstract: This paper addresses the problem of estimating, in the presence of random censoring as well as competing risks, the extreme value index of the (sub)-distribution function associated to one particular cause, in the heavy-tail case. Asymptotic normality of the proposed estimator (which has the form of an Aalen-Johansen integral, and is the first estimator proposed in this context) is established. A small simulation study exhibits its performances for finite samples. Estimation of extreme quantiles of the cumulative incidence function is also addressed.

Full work available at URL: https://arxiv.org/abs/1701.05458

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zbMATH Keywords

competing risksAalen-Johansen estimatorextreme value indexrandom censoringtail inference

Mathematics Subject Classification ID

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

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Cited In (9)

• Conditional tail moment and reinsurance premium estimation under random right censoring
• Estimation of the extreme value index in a censorship framework: asymptotic and finite sample behavior
• Handling missing extremes in tail estimation
• 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
• 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
• Improving the causal treatment effect estimation with propensity scores by the bootstrap
• Estimation of extreme survival probabilities with Cox model

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