Extreme value statistics for censored data with heavy tails under competing risks

Abstract : 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. Asymptotic normality of the proposed estimator (which has the form of an Aalen-Johansen integral, and is the fi rst estimator proposed in this context) is established. A small simulation study exhibits its performances for fi nite samples. Estimation of extreme quantiles of the cumulative incidence function is also addressed.
Type de document :
Pré-publication, Document de travail
2016
Liste complète des métadonnées

https://hal.archives-ouvertes.fr/hal-01418370
Contributeur : Rym Worms <>
Soumis le : vendredi 13 janvier 2017 - 16:36:15
Dernière modification le : jeudi 11 janvier 2018 - 06:25:42
Document(s) archivé(s) le : vendredi 14 avril 2017 - 20:21:53

Fichiers

ExtremesCompetingRisks-HAL-13j...
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-01418370, version 2
  • ARXIV : 1701.05458

Citation

Julien Worms, Rym Worms. Extreme value statistics for censored data with heavy tails under competing risks. 2016. 〈hal-01418370v2〉

Partager

Métriques

Consultations de la notice

150

Téléchargements de fichiers

104