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.
Recommendations
Cites work
- scientific article; zbMATH DE number 729453 (Why is no real title available?)
- A course on point processes
- A multivariate piecing-together approach with an application to operational loss data
- Exceedance probability of the integral of a stochastic process
- Extreme value theory. An introduction.
- Lan of thinned empirical process with an application to fuzzy set density
- Local asymptotic normality in of standard generalized Pareto processes
- Local asymptotic normality of truncated empirical processes
- Multivariate generalized Pareto distributions
- On max-stable processes and the functional D-norm
- On spatial extremes: with application to a rainfall problem
- Parametric statistical theory: with the assistance of R. Hamböker
- Residual life time at great age
- Spatial extremes: models for the stationary case
- Statistical inference using extreme order statistics
- Statistics of Extremes
- Testing for a multivariate generalized Pareto distribution
- The multivariate piecing-together approach revisited
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
- Max-stable processes and the functional \(D\)-norm revisited
- scientific article; zbMATH DE number 3996879 (Why is no real title available?)
This page was built for publication: Testing for a generalized Pareto process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1950879)
