Download This PaperStatistics of Extremes Under Random Censoring
CentER Discussion Paper No. 2006-62
25 Pages Posted: 31 Jul 2006
Date Written: June 2006
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.
Keywords: Asymptotic normality, extreme value index, extreme quantiles, random censoring
JEL Classification: C13, C14, C41
Suggested Citation: Suggested Citation
Einmahl, John H. J. and Fils-Villetard, Amélie and Guillou, Armelle, Statistics of Extremes Under Random Censoring (June 2006). CentER Discussion Paper No. 2006-62, Available at SSRN: https://ssrn.com/abstract=919819 or http://dx.doi.org/10.2139/ssrn.919819
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