• Bernoulli
  • Volume 14, Number 1 (2008), 207-227.

Statistics of extremes under random censoring

John H.J. Einmahl, Amélie Fils-Villetard, and Armelle Guillou

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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 estimators as the main building block for estimators of extreme quantiles. We illustrate the quality of these methods by a small simulation study and apply the estimators to medical data.

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Bernoulli, Volume 14, Number 1 (2008), 207-227.

First available in Project Euclid: 8 February 2008

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asymptotic normality extreme quantiles extreme value index random censoring


Einmahl, John H.J.; Fils-Villetard, Amélie; Guillou, Armelle. Statistics of extremes under random censoring. Bernoulli 14 (2008), no. 1, 207--227. doi:10.3150/07-BEJ104.

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