Abstract
We make use of the empirical process theory to approximate the adapted Hill estimator, for censored data, in terms of Gaussian processes. Then, we derive its asymptotic normality, only under the usual second-order condition of regular variation. Our methodology allows us to relax the assumptionsmade in Einmahl et al. (2008) on the heavy-tailed distribution functions and the sample fraction of upper order statistics.
Similar content being viewed by others
References
J. Beirlant, Y. Goegebeur, J. Segers, and J. Teugels, Statistics of Extremes–Theory and Applications (Wiley, New York, 2004)
J. Beirlant, A. Guillou, G. Dierckx, and A. Fils-Villetard, “Estimation of the Extreme Value Index and Extreme Quantiles under Random Censoring”, Extremes 10, 151–174 (2007).
N. H. Bingham, C. M. Goldie, and J. L. Teugels, Regular Variation (Cambridge Univ. Press, Cambridge, 1987).
B. Brahimi, D. Meraghni, A. Necir, and D. Yahia, “A Bias-Reduced Estimator for the Mean of a Heavy-Tailed Distribution with an Infinite Second Moment”, J. Statist. Plann. Inference 143, 1064–1081 (2013).
M. Csörgő, S. Csörgő, L. Horváth, and D. M. Mason, “Weighted Empirical and Quantile Processes”, Ann. Probab. 14, 31–85 (1986).
S. Csörgő, “Universal Gaussian Approximations under Random Censorship”, Ann. Statist. 24, 2744–2778 (1996).
P. Deheuvels and J. H. J. Einmahl, “On the Strong Limiting Behavior of Local Functionals of Empirical Processes Based upon Censored Data”, Ann. Probab. 24, 504–525 (1996).
J. H. J. Einmahl, A. Fils-Villetard, and A. Guillou, “Statistics of Extremes under Random Censoring”, Bernoulli 14, 207–227 (2008).
J. H. J. Einmahl and A. J. Koning, “Limit Theorems for a General Weighted Process under Random Censoring”, Canad. J. Statist. 20, 77–89 (1992).
I. Fraga Alves, I. Gomes, and L. de Haan, “A Note on Second Order Condition in Extreme Value Theory: Linking General and Heavy Tail Conditions”, Revstat. 5 285–304 (2007).
M. I. Gomes and M. M. Neves, “Estimation of the Extreme Value Index for Randomly Censored Data”, Biometrical Letters 48, 1–22 (2011).
L. de Haan and U. Stadtmüller, “Generalized Regular Variation of Second Order”, J. Australian Math. Soc. (Ser. A) 61, 381–395 (1996).
L. de Haan and A. Ferreira, Extreme Value Theory: An Introduction (Springer, 2006).
B. M. Hill, “A Simple General Approach to Inference about the Tail of a Distribution”, Ann. Statist. 3, 1163–1174 (1975).
L. Hua and H. Joe, “Second Order Regular Variation and Conditional Tail Expectation of Multiple Risks”, Insurance Math. Econom. 49, 537–546 (2011).
A. J. Koning and L. Peng, “Goodness-of-Fit Tests for a Heavy Tailed Distribution”, J. Statist. Plann. Inference 138, 3960–3981 (2008).
R. D. Reiss and M. Thomas, Statistical Analysis of Extreme Values with Applications to Insurance, Finance, Hydrology and Other Fields (Birkhäuser, 1997).
J. Worms and R. Worms, “New Estimators of the Extreme Value Index under Random Right Censoring, for Heavy-Tailed Distributions”, Extremes 17, 337–358 (2014).
Author information
Authors and Affiliations
Corresponding author
About this article
Cite this article
Brahimi, B., Meraghni, D. & Necir, A. Gaussian approximation to the extreme value index estimator of a heavy-tailed distribution under random censoring. Math. Meth. Stat. 24, 266–279 (2015). https://doi.org/10.3103/S106653071504002X
Received:
Accepted:
Published:
Issue Date:
DOI: https://doi.org/10.3103/S106653071504002X