Estimating the conditional extreme-value index under random right-censoring

JOURNAL OF MULTIVARIATE ANALYSIS

卷:144

Article

Stupfler, Gilles¹ 

[1] Aix Marseille Univ, CERGAM, EA 4225, 15-19 Allee Claude Forbin, F-13628 Aix En Provence 1, France

关键词: Extreme-value index;    Random covariate;    Random right-censoring;    Consistency;    Asymptotic normality;   

DOI  :  10.1016/j.jmva.2015.10.015

来源: Elsevier

【 摘 要 】

In extreme value theory, the extreme-value index is a parameter that controls the behavior of a cumulative distribution function in its right tail. Estimating this parameter is thus the first step when tackling a number of problems related to extreme events. In this paper, we introduce an estimator of the extreme-value index in the presence of a random covariate when the response variable is right-censored, whether its conditional distribution belongs to the Frechet, Weibull or Gumbel domain of attraction. The pointwise weak consistency and asymptotic normality of the proposed estimator are established. Some illustrations on simulations are provided and we showcase the estimator on a real set of medical data. (C) 2015 Elsevier Inc. All rights reserved.

【 授权许可】

Free