Censored Heteroscedastic Extremes

Abstract

We study estimation of tail heterogeneity for non-identically distributed extreme observations subject to random right-censoring. In the uncensored setting, such heterogeneity is described by the event scedasis function, which measures the relative contribution of different design points to the upper tail. Under censoring, however, the observed tail heterogeneity is contaminated by the censoring scedasis functions, and applying uncensored techniques targets the wrong object. We propose a Beran-type estimator of the relative event scedasis, which is consistent under mild conditions. To obtain these results, survival analysis representations at an upper order statistics are extended to the non-identically distributed case; specifically, we develop conditional Nelson--Aalen and Beran theory on increasing intervals whose random endpoint is dominated, with probability tending to one, by a deterministic high local quantile. In particular, we derive a martingale array representation of the conditional Nelson--Aalen estimator with explicit error bounds depending only on the sample fraction and the bandwidth. Simulations demonstrate the finite-sample performance of the method, and an application to French property-casualty insurance claims illustrates how heterogeneous censoring can distort naive scedasis estimates.