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