Local asymptotic normality in \(\delta\) of standard generalized Pareto processes

DOI10.1016/j.jspi.2011.12.011zbMath1428.62193arXiv1108.0921MaRDI QIDQ434526

Michael Falk, Stefan Aulbach

Publication date: 16 July 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.0921

zbMATH Keywords

asymptotic efficiency; local asymptotic normality; max-stable process; generalized Pareto process; functional extreme value theory; point process of exceedances; regular estimator sequence

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

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Testing for a generalized Pareto process, On functional records and champions, Max-stable processes and the functional \(D\)-norm revisited

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