相关论文: A Simulation Comparison of Estimators of Condition…

Extreme value analysis in the presence of censoring is receiving much attention as it has applications in many disciplines, including survival and reliability studies. Estimation of extreme value index (EVI) is of primary importance as it…

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…

The subject of tail estimation for randomly censored data from a heavy tailed distribution receives growing attention, motivated by applications for instance in actuarial statistics. The bias of the available estimators of the extreme value…

We revisit the estimation of the extreme value index for randomly censored data from a heavy tailed distribution. We introduce a new class of estimators which encompasses earlier proposals given in Worms and Worms (2014) and Beirlant et al.…

This paper addresses the problem of estimating, in the presence of random censoring as well as competing risks, the extreme value index of the (sub)-distribution function associated to one particular cause, in the heavy-tail case.…

This paper considers estimation and inference about tail features when the observations beyond some threshold are censored. We first show that ignoring such tail censoring could lead to substantial bias and size distortion, even if the…

Estimation of the extreme value index under right censoring is a fundamental problem in extreme value theory, with important applications in finance, insurance, and reliability. Classical integral estimators for Pareto-type tails typically…

In this paper, we propose a reduced-bias estimator of the EVI for Pareto-type tails (heavy-tailed) distributions. This is derived using the weighted least squares method. It is shown that the estimator is unbiased, consistent and…

One of the main goal of extreme value analysis is to estimate the probability of rare events given a sample from an unknown distribution. The upper tail behavior of this distribution is described by the extreme value index. We present a new…

We consider estimation of the extreme value index and extreme quantiles for heavy-tailed data that are right-censored. We study a general procedure of removing low importance observations in tail estimators. This trimming procedure is…

Recently attention has been drawn to practical problems with the use of unbounded Pareto distributions, for instance when there are natural upper bounds that truncate the probability tail. Aban, Meerschaert and Panorska (2006) derived the…

A tail empirical process for heavy-tailed and right-censored data is introduced and its Gaussian approximation is established. In this context, a (weighted) new Hill-type estimator for positive extreme value index is proposed and its…

A novel and comprehensive methodology designed to tackle the challenges posed by extreme values in the context of random censorship is introduced. The main focus is on the analysis of integrals based on the product-limit estimator of…

One of the main topics of extreme value analysis is to estimate the extreme value index, an important parameter that controls the tail behavior of the distribution. In many cases, estimating the extreme value index of the target variable…

The extreme value index (EVI) characterizes the tail behavior of a distribution and is crucial for extreme value theory. Inference on the EVI is challenging due to data scarcity in the tail region. We propose a novel method for constructing…

Modern statistical analyses often encounter datasets with massive sizes and heavy-tailed distributions. For datasets with massive sizes, traditional estimation methods can hardly be used to estimate the extreme value index directly. To…

Since the extreme value index (EVI) controls the tail behaviour of the distribution function, the estimation of EVI is a very important topic in extreme value theory. Recent developments in the estimation of EVI along with covariates have…

This paper deals with parameter estimation when the data are randomly right censored. The maximum likelihood estimates from censored samples are obtained by using the expectation-maximization (EM) and Monte Carlo EM (MCEM) algorithms. We…

The occurrence of successive extreme observations can have an impact on society. In extreme value theory there are parameters to evaluate the effect of clustering of high values, such as the extremal index. The estimation of the extremal…

A hybrid censoring scheme is a mixture of Type-I and Type-II censoring schemes. We study the estimation of parameters of weighted exponential distribution based on Type-II hybrid censored data. By applying EM algorithm, maximum likelihood…