Tail inference using extreme U-statistics

DOI10.1214/23-EJS2129MaRDI QIDQ6158215zbMATH OpenOpenAlexFDO

Authors Jochem Oorschot, Johan Segers, Chen Zhou

Publication date 31 May 2023

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

Full work available at URL https://arxiv.org/abs/2203.08505, https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-17/issue-1/Tail-inference-using-extreme-U-statistics/10.1214/23-EJS2129.full

zbMATH Keywords

extreme value indexgeneralized Pareto distributionHájek projectionU-statistic

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: Extreme U-statistics arise when the kernel of a U-statistic has a high degree but depends only on its arguments through a small number of top order statistics. As the kernel degree of the U-statistic grows to infinity with the sample size, estimators built out of such statistics form an intermediate family in between those constructed in the block maxima and peaks-over-threshold frameworks in extreme value analysis. The asymptotic normality of extreme U-statistics based on location-scale invariant kernels is established. Although the asymptotic variance coincides with the one of the H'ajek projection, the proof goes beyond considering the first term in Hoeffding's variance decomposition. We propose a kernel depending on the three highest order statistics leading to a location-scale invariant estimator of the extreme value index resembling the Pickands estimator. This extreme Pickands U-estimator is asymptotically normal and its finite-sample performance is competitive with that of the pseudo-maximum likelihood estimator.

Cites work

• A Class of Statistics with Asymptotically Normal Distribution
• A sliding blocks estimator for the extremal index
• Asymptotic Statistics
• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution
• Existence and consistency of the maximum likelihood estimator for the extreme value index
• Exponentiated generalized Pareto distribution: Properties and applications towards extreme value theory
• Extreme value theory. An introduction.
• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
• scientific article; zbMATH DE number 47948 (Why is no real title available?)
• Inference for heavy tailed stationary time series based on sliding blocks
• Maximum likelihood estimators based on the block maxima method
• On maximum likelihood estimation of the extreme value index.
• On the block maxima method in extreme value theory: PWM estimators
• Probability Inequalities for Sums of Bounded Random Variables
• Statistical inference using extreme order statistics
• Testing the Gumbel hypothesis by Galton's ratio
• The tail of the hypergeometric distribution
• The Theory of Unbiased Estimation

Cited in

(2)

• Limit theorems for non-degenerate U-statistics of block maxima for time series
• Bootstrapping estimators based on the block maxima method

This page was built for publication: Tail inference using extreme U-statistics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6158215)