Estimating the conditional extreme-value index under random right-censoring
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DOI: 10.1016/j.jmva.2015.10.015
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- Stupfler, Gilles, 2016. "Estimating the conditional extreme-value index under random right-censoring," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 1-24.
References listed on IDEAS
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"Estimating extreme quantiles under random truncation,"
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(2), pages 207-227, June.
- Laurent Gardes & Gilles Stupfler, 2015. "Estimating extreme quantiles under random truncation," Post-Print hal-01456111, HAL.
- Laurent Gardes & Gilles Stupfler, 2015.
"Erratum to: Estimating extreme quantiles under random truncation,"
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Citations
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Cited by:
- Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022.
"Inference for extremal regression with dependent heavy-tailed data,"
TSE Working Papers
22-1324, Toulouse School of Economics (TSE), revised 29 Aug 2023.
- Abdelaati Daouia & Gilles Claude Stupfler & Antoine Usseglio-Carleve, 2023. "Inference for extremal regression with dependent heavy-tailed data," Post-Print hal-04554050, HAL.
- Goedele Dierckx & Yuri Goegebeur & Armelle Guillou, 2021. "Local Robust Estimation of Pareto-Type Tails with Random Right Censoring," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 70-108, February.
- El Methni, Jonathan & Stupfler, Gilles, 2018. "Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions," Econometrics and Statistics, Elsevier, vol. 6(C), pages 129-148.
- Yaolan Ma & Bo Wei & Wei Huang, 2020. "A nonparametric estimator for the conditional tail index of Pareto-type distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(1), pages 17-44, January.
- Girard, Stéphane & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Functional estimation of extreme conditional expectiles," Econometrics and Statistics, Elsevier, vol. 21(C), pages 131-158.
- Stéphane Girard & Gilles Stupfler & Antoine Usseglio‐Carleve, 2022. "Nonparametric extreme conditional expectile estimation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 78-115, March.
- Escobar-Bach, Mikael & Van Keilegom, Ingrid, 2023. "Nonparametric estimation of conditional cure models for heavy-tailed distributions and under insufficient follow-up," Computational Statistics & Data Analysis, Elsevier, vol. 183(C).
- González-Sánchez, Mariano & Nave Pineda, Juan M., 2023. "Where is the distribution tail threshold? A tale on tail and copulas in financial risk measurement," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Goegebeur, Yuri & Guillou, Armelle & Qin, Jing, 2019. "Robust estimation of the Pickands dependence function under random right censoring," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 101-114.
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Keywords
Asymptotic normality; Consistency; Extreme-value index; Random covariate; Random right-censoring;All these keywords.
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