Statistics of extremes under random censoring
Einmahl, John H.J. ; Fils-Villetard, Amélie ; Guillou, Armelle
Bernoulli, Tome 14 (2008) no. 1, p. 207-227 / Harvested from Project Euclid
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We investigate the estimation of the extreme value index when the data are subject to random censorship. We prove, in a unified way, detailed asymptotic normality results for various estimators of the extreme value index and use these estimators as the main building block for estimators of extreme quantiles. We illustrate the quality of these methods by a small simulation study and apply the estimators to medical data.
Publié le : 2008-02-15
Classification:  asymptotic normality,  extreme quantiles,  extreme value index,  random censoring 
@article{1202492791,
     author = {Einmahl, John H.J. and Fils-Villetard, Am\'elie and Guillou, Armelle},
     title = {Statistics of extremes under random censoring},
     journal = {Bernoulli},
     volume = {14},
     number = {1},
     year = {2008},
     pages = { 207-227},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1202492791}
}

Einmahl, John H.J.; Fils-Villetard, Amélie; Guillou, Armelle. Statistics of extremes under random censoring. Bernoulli, Tome 14 (2008) no. 1, pp.  207-227. http://gdmltest.u-ga.fr/item/1202492791/