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Pré-Publication, Document De Travail Année : 2017

On the study of extremes with dependent random right-censoring

Résumé

The study of extremes in missing data frameworks is a recent developing field. In particular, the randomly right-censored case has been receiving a fair amount of attention in the last decade. All studies on this topic, however, essentially work under the usual assumption that the variable of interest and the censoring variable are independent. In this paper, we look instead at the dependent case. More precisely, we consider the case when the structure of the dependent censoring mechanism is given by an extreme value copula. In this context, we examine the extremes of the response variable (that is, the minimum between time-to-event and time-to-censoring) and of the probability of censoring in the right tail of this variable. We then draw a number of consequences of our results, related to the asymptotic behaviour, in this dependent context, of estimators of the extreme value index of the random variable of interest that were introduced in the literature under the assumption of independent censoring, and we discuss more generally the implications of our results on the inference of the extremes of this variable.
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Dates et versions

hal-01450775 , version 1 (31-01-2017)
hal-01450775 , version 2 (15-10-2017)
hal-01450775 , version 3 (08-06-2018)

Identifiants

  • HAL Id : hal-01450775 , version 3

Citer

Gilles Stupfler. On the study of extremes with dependent random right-censoring. 2017. ⟨hal-01450775v3⟩
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