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Zbl 1157.62027
Beirlant, Jan; Guillou, Armelle; Dierckx, Goedele; Fils-Villetard, Amélie
Estimation of the extreme value index and extreme quantiles under random censoring. (English)
[J] Extremes 10, No. 3, 151-174 (2007). ISSN 1386-1999; ISSN 1572-915X/e

The random right censoring model is considered where the observations and the censor belong to domains of max-attraction of extreme value distributions. The problem is to estimate the extreme value index of the observations. Maximum likelihood and adapted moment estimates are considered. Asymptotic normality of the moment estimate and corresponding extreme quantile estimate are demonstrated. Results of simulations and applications to medical data are presented.
[R. E. Maiboroda (Ky\"iv)]

MSC 2000:: *62G32 Statistics of extreme values; tail inference
62G05 Nonparametric estimation
62N01 Censored data models
62N02 Estimation

Keywords: Kaplan-Meyer estimator; maximum likelihood estimation; moment estimation; asymptotic normality

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