On testing the extreme value index via the POT-method

DOI10.1214/aos/1034713645zbMath0856.62027OpenAlexW2058927538MaRDI QIDQ1922377

Michael Falk

Publication date: 26 February 1997

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

Full work available at URL: https://doi.org/10.1214/aos/1034713645

zbMATH Keywords

Hellinger distancelocal asymptotic normalitycontiguous alternativesgeneralized Pareto distributionlog-likelihood ratiopeaks over thresholdpoint process of exceedancesnumber of exceedancesasymptotic sufficiencydelta-neighborhood

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic properties of parametric tests (62F05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

On the super-additivity and estimation biases of quantile contributions ⋮ Selection procedures for sparse data ⋮ Testing the tail index in autoregressive models ⋮ LAN of extreme order statistics ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ A class of bootstrap tests on the tail index ⋮ Double-thresholded estimator of extreme value index ⋮ On the loss of information due to nonrandom truncation ⋮ Review of testing issues in extremes: in honor of Professor Laurens de Haan ⋮ Local asymptotic normality of truncated empirical processes ⋮ Local asymptotic normality of intermediate and central order statistics ⋮ A simple robust estimation method for the thickness of heavy tails ⋮ Estimating the index of a stable law via the pot-method ⋮ Semiparametric lower bounds for tail index estimation

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