Extreme value inference for heterogeneous power law data

DOI10.1214/23-AOS2294OpenAlexW4386035719MaRDI QIDQ6177326FDOQ6177326

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

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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)

Cites Work

• An introduction to statistical modeling of extreme values
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• Statistics of Extremes
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• Title not available (Why is that?)
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• On tail index estimation using dependent data
• A simple general approach to inference about the tail of a distribution
• Functional central limit theorems for processes with positive drift and their inverses
• A moment estimator for the index of an extreme-value distribution
• Regularly varying functions
• Understanding the cubic and half-cubic laws of financial fluctuations
• Statistics of Heteroscedastic Extremes
• Trends in Extreme Value Indices
• Extreme value inference for heterogeneous power law data
• Heavy tailed time series
• Empirical tail copulas for functional data

Cited In (5)

• 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
• Flexible extreme value inference

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