Statistics of extremes under random censoring

John Einmahl, Fils-Villetard, Amelie and Armelle Guillou
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Armelle Guillou: Tilburg University, Center for Economic Research

No 62, Discussion Paper from Tilburg University, Center for Economic Research

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: 62G05; 62G20; 62G32; 62N02 (search for similar items in EconPapers)
JEL-codes: C13 C14 C41 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2006
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