Peaks-Over-Threshold Modeling Under Random Censoring

DOI10.1080/03610920902859599zbMath1284.62612MaRDI QIDQ3566560

Jan Beirlant, Armelle Guillou, Gwladys Toulemonde

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 normality; random censoring; Newton-Raphson algorithm; extreme value index

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62G32: Statistics of extreme values; tail inference

62N02: Estimation in survival analysis and censored data

Related Items

New estimators of the extreme value index under random right censoring, for heavy-tailed distributions, Nonparametric estimation of the conditional extreme-value index with random covariates and censoring, Estimating the conditional extreme-value index under random right-censoring, Estimating extreme quantiles under random truncation

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