Extreme value statistics for censored data with heavy tails under competing risks
This provides a new statistical method for analyzing extreme events in survival data with multiple failure causes, though it is incremental in the field of extreme value statistics.
The paper tackles the problem of estimating the extreme value index for censored data with heavy tails under competing risks, establishing asymptotic normality for a novel estimator and demonstrating its performance in simulations.
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.