Optimal rates of convergence for estimates of the extreme value index

DOI10.1214/aos/1030563992zbMath0934.62047MaRDI QIDQ1807081

Holger Drees

Publication date: 9 November 1999

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1030563992

zbMATH Keywords

rate of convergence; robustness; optimality; moment estimator; Hill estimator; extreme value index; Pickands estimators

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62G35: Nonparametric robustness

62G05: Nonparametric estimation

Related Items

Abelian and Tauberian Theorems on the Bias of the Hill Estimator, Optimal rates of convergence in the Weibull model based on kernel-type estimators, Tail index estimation in the presence of long-memory dynamics, The tail empirical process for long memory stochastic volatility sequences, Statistics of extremes by oracle estimation, Tail exponent estimation via broadband log density-quantile regression, Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models, Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process, Weighted empirical processes in the nonparametric inference for Lévy processes, Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach, Semiparametric lower bounds for tail index estimation

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Best attainable rates of convergence for estimates of parameters of regular variation
• A moment estimator for the index of an extreme-value distribution
• Kernel estimates of the tail index of a distribution
• Adaptive estimates of parameters of regular variation
• Estimating tails of probability distributions
• Approximate distributions of order statistics. With applications to nonparametric statistics
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Optimal choice of sample fraction in extreme-value estimation
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• On the Best Obtainable Asymptotic Rates of Convergence in Estimation of a Density Function at a Point