Extreme value inference for heterogeneous power law data

DOI10.1214/23-AOS2294MaRDI QIDQ6177326zbMATH OpenOpenAlexFDO

Authors John H. J. Einmahl, Yi He

Publication date 31 August 2023

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

Full work available at URL https://projecteuclid.org/journals/annals-of-statistics/volume-51/issue-3/Extreme-value-inference-for-heterogeneous-power-law-data/10.1214/23-AOS2294.full

zbMATH Keywords

functional central limit theoremHill estimatorextreme value statisticsweighted tail empirical processheterogeneous scales modelnonidentical distributions

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)

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Cites work

• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
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• Extreme value inference for heterogeneous power law data
• Extreme value theory. An introduction.
• Functional central limit theorems for processes with positive drift and their inverses
• Heavy tailed time series
• Limit theorems for empirical processes of cluster functionals
• On tail index estimation using dependent data
• Regularly varying functions
• Statistics of Extremes
• Statistics of heteroscedastic extremes
• Trends in Extreme Value Indices
• Understanding the cubic and half-cubic laws of financial fluctuations
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• Weighted approximations of tail processes for \(\beta\)-mixing random variables.

Cited in

(5)

• Flexible extreme value inference
• Extreme value modeling under power normalization
• Extreme value inference for heterogeneous power law data
• Distinct Values Estimators for Power Law Distributions
• Trend detection for heteroscedastic extremes

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