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

DOI10.1016/J.JSPI.2015.06.004zbMATH Open1333.62138OpenAlexW2197731993WikidataQ59245350 ScholiaQ59245350MaRDI QIDQ900751FDOQ900751

Authors: Pathé Ndao, Aliou Diop, Jean-François Dupuy 

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

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zbMATH Keywords

simulationskernel estimatorconditional extreme quantileconditional extreme-value indexconditional Kaplan-Meier estimator

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Estimation in survival analysis and censored data (62N02) Statistics of extreme values; tail inference (62G32)

Cites Work

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Cited In (16)

• 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
• New estimators of the extreme value index under random right censoring, for heavy-tailed distributions
• Estimation of the extreme value index and extreme quantiles under random censoring
• 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
• 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
• Estimating the conditional tail index by integrating a kernel conditional quantile estimator
• Title not available (Why is that?)
• Estimation of extreme survival probabilities with cox model
• Robust estimation of the Pickands dependence function under random right censoring
• Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels

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