Nelson-Aalen Tail Product-limit Process and Extreme Value Index Estimation Under Random Censorship

Published in Statistics

Go to the profile of Abdelhakim Necir
Abdelhakim Necir
Professor, Mohamed Khider University of Biskra
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Based on the Nelson–Aalen estimator, we derive a weak approximation of the tail product-limit process under random right censoring. We propose a consistent extreme value index estimator, establish its asymptotic normality, develop high-quantile estimation, and assess performance by simulation.

Go to the profile of Abdelhakim Necir
Abdelhakim Necir
Professor, Mohamed Khider University of Biskra

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