Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds
From MaRDI portal
Abstract: The extreme value dependence of regularly varying stationary time series can be described by the spectral tail process. Drees, Segers and Warchol [Extremes 18(3): 369--402, 2015] proposed estimators of the marginal distributions of this process based on exceedances over high deterministic thresholds and analyzed their asymptotic behavior. In practice, however, versions of the estimators are applied which use exceedances over random thresholds like intermediate order statistics. We prove that these modified estimators have the same limit distributions. This finding is corroborated in a simulation study, but the version using order statistics performs a bit better for finite samples.
Recommendations
- Peaks over random threshold methodology for tail index and high quantile estimation
- Threshold estimation for a spectrally negative Lévy process
- The spectrogram: a threshold-based inferential tool for extremes of stochastic processes
- scientific article; zbMATH DE number 16756
- Peaks-over-threshold modeling under random censoring
- Functional regular variations, Pareto processes and peaks over threshold
- On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
- scientific article; zbMATH DE number 3911540
Cites work
- Estimating tails of probability distributions
- Extreme quantile estimation for dependent data, with applications to finance
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- Inference on the tail process with application to financial time series modeling
- Joint extremal behavior of hidden and observable time series with applications to GARCH processes
- Limit theorems for empirical processes of cluster functionals
- Markov Chains
- On maximum likelihood estimation of the extreme value index.
- Regular variation of GARCH processes.
- Regularly varying multivariate time series
- Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
- Statistics for tail processes of Markov chains
- Stochastic Models with Power-Law Tails
- The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
- The tail empirical process of regularly varying functions of geometrically ergodic Markov chains
- Towards estimating extremal serial dependence via the bootstrapped extremogram
- Weak convergence and empirical processes. With applications to statistics
Cited in
(10)- Functional regular variations, Pareto processes and peaks over threshold
- Asymptotics for sliding blocks estimators of rare events
- Bootstrapping Hill estimator and tail array sums for regularly varying time series
- Estimation of cluster functionals for regularly varying time series: sliding blocks estimators
- Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution
- Estimation of cluster functionals for regularly varying time series: runs estimators
- Cluster based inference for extremes of time series
- The spectrogram: a threshold-based inferential tool for extremes of stochastic processes
- scientific article; zbMATH DE number 16756 (Why is no real title available?)
- Marginal expected shortfall risk measure for time series
This page was built for publication: Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2198603)
