Estimating the conditional extreme-value index under random right-censoring
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Publication:901273
DOI10.1016/J.JMVA.2015.10.015zbMATH Open1328.62220OpenAlexW2192909938MaRDI QIDQ901273FDOQ901273
Authors: Gilles Stupfler 
Publication date: 23 December 2015
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2015.10.015
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Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Censored data models (62N01) Estimation in survival analysis and censored data (62N02) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)
Cites Work
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- Statistics of Extremes
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- A moment estimator for the index of an extreme-value distribution
- Estimating extreme quantiles under random truncation
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- Estimation of the extreme value index and extreme quantiles under random censoring
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- A moment estimator for the conditional extreme-value index
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- Tail index regression
- Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring
- Peaks-over-threshold modeling under random censoring
- On robust tail index estimation under random censorship
- Uniform asymptotic properties of a nonparametric regression estimator of conditional tails
Cited In (25)
- A nonparametric estimator for the conditional tail index of Pareto-type distributions
- 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
- Estimating the conditional tail expectation of randomly right-censored heavy-tailed data
- Estimation of the extreme value index and extreme quantiles under random censoring
- Statistics of extremes under random censoring
- Handling missing extremes in tail estimation
- Functional kernel estimation of the conditional extreme value index under random right censoring
- Local robust estimation of Pareto-type tails with 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
- Tail index varying coefficient model
- Extreme value statistics for censored data with heavy tails under competing risks
- Estimation of extremes for Weibull-tail distributions in the presence of random censoring
- Efficient estimation of partially linear tail index models using B‐splines
- 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?)
- Robust estimation of the Pickands dependence function under random right censoring
- Nonparametric estimation of conditional cure models for heavy-tailed distributions and under insufficient follow-up
- Testing for sufficient follow-up in censored survival data by using extremes
- Nonparametric estimation of the conditional extreme-value index with random covariates and censoring
- A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes
- Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring
- Estimation of extreme survival probabilities with Cox model
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