Extreme value statistics for censored data with heavy tails under competing risks (1701.05458v1)

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 first estimator proposed in this context) is established. A small simulation study exhibits its performances for finite samples. Estimation of extreme quantiles of the cumulative incidence function is also addressed.