Nonparametric estimation of the conditional extreme-value index with random covariates and censoring

DOI10.1016/j.jspi.2015.06.004zbMath1333.62138OpenAlexW2197731993WikidataQ59245350 ScholiaQ59245350MaRDI QIDQ900751

Jean-François Dupuy, Aliou Diop, Pathé Ndao

Publication date: 22 December 2015

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2015.06.004

zbMATH Keywords

simulationskernel estimatorconditional Kaplan-Meier estimatorconditional extreme quantileconditional extreme-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 (11)

The stochastic approximation method for recursive kernel estimation of the conditional extreme value index ⋮ Functional kernel estimation of the conditional extreme value index under random right censoring ⋮ On the study of extremes with dependent random right-censoring ⋮ Robust estimation of the Pickands dependence function under random right censoring ⋮ Estimation of extreme survival probabilities with cox model ⋮ 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 the extreme value index in a censorship framework: asymptotic and finite sample behavior ⋮ Bias-corrected estimation for conditional Pareto-type distributions with random right censoring ⋮ Estimation of extremes for heavy-tailed and light-tailed distributions in the presence of random censoring

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