Minimax risk bounds in extreme value theory

DOI10.1214/AOS/996986509zbMATH Open1029.62046OpenAlexW2055289862MaRDI QIDQ1848862FDOQ1848862

Authors: Holger Drees 

Publication date: 14 November 2002

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

Full work available at URL: https://doi.org/10.1214/aos/996986509

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zbMATH Keywords

confidence intervalsextreme value indexwhite noiseGaussian shiftconvergence of experimentslocal experimentsminimax affine estimators

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32) Minimax procedures in statistical decision theory (62C20)

Cites Work

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Cited In (16)

• Lower bounds to the accuracy of inference on heavy tails
• On fixed-length confidence intervals for a bounded normal mean
• Asymptotic equivalence of nonparametric autoregression and nonparametric regression
• Weighted empirical processes in the nonparametric inference for Lévy processes
• Asymptotic statistical equivalence for scalar ergodic diffusions
• On posterior consistency of tail index for Bayesian kernel mixture models
• Varying confidence levels for CVaR risk measures and minimax limits
• Maximum variation of total risk
• Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models
• Title not available (Why is that?)
• Minimax risk over hyperrectangles, and implications
• Tail index estimation, concentration and adaptivity
• Semiparametric lower bounds for tail index estimation
• Estimation and inference about tail features with tail censored data
• Estimating tail decay for stationary sequences via extreme values
• On uniform confidence intervals for the tail index and the extreme quantile

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