Asymptotic normality of extreme value estimators on C[0,1]

DOI10.1214/009053605000000831MaRDI QIDQ2493560zbMATH OpenOpenAlexFDO

Authors John H. J. Einmahl, Tao Lin

Publication date 21 June 2006

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

Full work available at URL https://arxiv.org/abs/math/0605612

zbMATH Keywords

estimationextreme value indexinfinite-dimensional extremesweak convergence on \(C[0,1\)]

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Extreme value theory; extremal stochastic processes (60G70) Asymptotic properties of parametric tests (62F05) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Abstract: Consider $n$ i.i.d. random elements on $C[0,1]$. We show that, under an appropriate strengthening of the domain of attraction condition, natural estimators of the extreme-value index, which is now a continuous function, and the normalizing functions have a Gaussian process as limiting distribution. A key tool is the weak convergence of a weighted tail empirical process, which makes it possible to obtain the results uniformly on $[0,1]$. Detailed examples are also presented.

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Cited in

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• On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
• A general class of estimators of the extreme value index
• Weak consistency of extreme value estimators in \(C[0,1]\)
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