Statistics of extremes by oracle estimation

DOI10.1214/07-AOS535MaRDI QIDQ939657zbMATH OpenFDO

Authors V. G. Spokoiny, Ion Grama

Publication date 28 August 2008

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

Full work available at URL https://arxiv.org/abs/0808.0976

zbMATH Keywords

extreme valueshigh quantilesHill estimatornonparametric adaptive estimationprobabilities of rare events

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Statistics of extreme values; tail inference (62G32)

Abstract: We use the fitted Pareto law to construct an accompanying approximation of the excess distribution function. A selection rule of the location of the excess distribution function is proposed based on a stagewise lack-of-fit testing procedure. Our main result is an oracle type inequality for the Kullback--Leibler loss.

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Cited in

(12)

• Multiscale local change point detection with applications to value-at-risk
• Truncated estimation of ratio statistics with application to heavy tail distributions
• Oracle inequalities for probability density estimations
• Cyber risk frequency, severity and insurance viability
• Rejoinder on: ``Local quantile regression
• Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles
• Estimation of extreme survival probabilities with Cox model
• Predicting the sample mean by extreme order statistics
• A modeler's guide to extreme value software
• Estimation of the survival probabilities by adjusting a Cox model to the tail
• Uniform in bandwidth consistency of kernel estimators of the tail index
• Tail index estimation, concentration and adaptivity

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