کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
6869786 681344 2014 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring
چکیده انگلیسی
The estimation of the tail index and extreme quantiles of a heavy-tailed distribution is addressed when some covariate information is available and the data are randomly right-censored. Several estimators are constructed by combining a moving-window technique (for tackling the covariate information) and the inverse probability-of-censoring weighting method. The asymptotic normality of these estimators is established and their finite-sample properties are investigated via simulations. A comparison with alternative estimators is provided. Finally, the proposed methodology is illustrated on a medical dataset.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 79, November 2014, Pages 63-79
نویسندگان
, , ,