Testing for a generalized Pareto process

DOI10.1214/12-EJS728zbMATH Open1295.62017arXiv1201.6611OpenAlexW3099624150MaRDI QIDQ1950879FDOQ1950879

Authors: Stefan Aulbach, Michael Falk 

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: We investigate two models for the following setup: We consider a stochastic process X in C[0,1] whose distribution belongs to a parametric family indexed by vartheta in {Theta} subset R. In case vartheta = 0, X is a generalized Pareto process. Based on n independent copies X(1),...,X(n) of X, we establish local asymptotic normality (LAN) of the point process of exceedances among X(1),...,X(n) above an increasing threshold line in each model. The corresponding central sequences provide asymptotically optimal sequences of tests for testing H0 : vartheta = 0 against a sequence of alternatives Hn : vartheta = varthetan converging to zero as n increases. In one model, with an underlying exponential family, the central sequence is provided by the number of exceedances only, whereas in the other one the exceedances themselves contribute, too. However it turns out that, in both cases, the test statistics also depend on some additional and usually unknown model parameters. We, therefore, consider an omnibus test statistic sequence as well and compute its asymptotic relative efficiency with respect to the optimal test sequence.

Full work available at URL: https://arxiv.org/abs/1201.6611

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zbMATH Keywords

asymptotic relative efficiencymax-stable processlocal asymptotic normalitygeneralized Pareto processfunctional extreme value theorypoint process of exceedancescentral sequenceasymptotic optimal test sequence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Extreme value theory; extremal stochastic processes (60G70) Asymptotic properties of parametric tests (62F05) Statistics of extreme values; tail inference (62G32)

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Cited In (6)

• A two-step approach to model precipitation extremes in California based on max-stable and marginal point processes
• On testing the extreme value index via the POT-method
• On functional records and champions
• The spectrogram: a threshold-based inferential tool for extremes of stochastic processes
• Title not available (Why is that?)
• Max-stable processes and the functional \(D\)-norm revisited

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