Abstract
In this paper, we consider the estimation of the extreme value index and extreme quantiles in the presence of random right censoring. The generalization of the peaks over threshold method is discussed and an adaptation of the moment estimator is proposed. The corresponding extreme quantile estimators are also introduced. We make a start with the analysis of the asymptotic properties of the moment estimator and the corresponding extreme quantile estimator. The finite sample behaviour is illustrated with a small simulation study and through practical examples from survival data analysis.
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Beirlant, J., Guillou, A., Dierckx, G. et al. Estimation of the extreme value index and extreme quantiles under random censoring. Extremes 10, 151–174 (2007). https://doi.org/10.1007/s10687-007-0039-x
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DOI: https://doi.org/10.1007/s10687-007-0039-x