Asymptotic distribution of certain statistics relevant to the fitting of max-semistable models

DOI10.4171/PM/1850MaRDI QIDQ838412zbMATH OpenFDO

Authors Luísa Canto e Castro, Sandra Dias

Publication date 25 August 2009

Published in Portugaliae Mathematica. Nova Série (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4171/PM/1850

zbMATH Keywords

geometrically growing sequencemax-semistable domain of attractionratio of differences of order statistics

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Review text

Summary: According to the results of \textit{L. Canto e Castro} et al. [Theory Probab. Appl. 45, No.~4, 658--662 (2000; Zbl 0992.60055)], max-semistable distribution functions can be characterized by a parameter \(r > 1\), by the extreme value index \(\gamma \) and by a real function w defined in \([0,\log r]\). The estimation of the parameters \(r\) and \(\gamma \) based on ratios of differences of order statistics, or appropriate functions of these sequences, was treated by \textit{S. Dias} and \textit{L. Canto e Castro} [Contributions to statistical inference in max-semistable models. Preprint 14/06, Center Statist. Appl., Univ. Lisbon (2006)]. We study the asymptotic distribution of these sequences of statistics.

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Cites work

• A bootstrap-based method to achieve optimality in estimating the extreme-value index
• Limiting multivariate distributions of intermediate order statistics
• Linear Statistical Inference and its Applications
• On Stochastic Evolution Equations with Stochastic Boundary Conditions
• Rarely Observed Sample Maxima

Cited in

(3)

• Third order conditions and max-semistability
• Asymptotic theory for the inference of the latent trawl model for extreme values
• Generalized Pickands' estimators for the tail index parameter and max-semistability

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