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Statistics of extremes under random censoring

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Author Info
Einmahl, John H.J.
Fils-Villetard, Amelie
Guillou, Armelle (Tilburg University, Center for Economic Research)

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Abstract

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.

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File URL: http://arno.uvt.nl/show.cgi?fid=53940
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Publisher Info
Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 62.

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Date of creation: 2006
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Handle: RePEc:dgr:kubcen:200662

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Web page: http://center.uvt.nl

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Related research
Keywords: 62G05; 62G20; 62G32; 62N02;

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis

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