- Prof. John Einmahl – Department of Econometrics – Tilburg University – The Netherlands
- FCUL (DEIO) – Campo Grande – Bloco C/6 Piso 4 – Sala 6.4.30 – 14h
- Quarta-feira, 12 de Dezembro de 2007
Abstract: We investigate the estimation of the extreme value index, when the data are subject to random censorship. We prove in a unified way detailed asymptotic normality results for various estimators of the extreme value index and use these estimators as the main building block for estimators of extreme quantiles. We illustrate the quality of these methods by a small simulation study and apply the estimators to medical data. Joint work with Amelie Fils-Villetard and Armelle Guillou.