Nonparametric estimation of the conditional extreme-value index with random covariates and censoring
DOI10.1016/J.JSPI.2015.06.004zbMATH Open1333.62138OpenAlexW2197731993WikidataQ59245350 ScholiaQ59245350MaRDI QIDQ900751FDOQ900751
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
simulationskernel estimatorconditional extreme quantileconditional extreme-value indexconditional Kaplan-Meier estimator
Nonparametric estimation (62G05) 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 (13)
- 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
- 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
- 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
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