期刊
ANNALS OF STATISTICS
卷 43, 期 1, 页码 276-298出版社
INST MATHEMATICAL STATISTICS
DOI: 10.1214/14-AOS1280
关键词
Block maxima; peaks-over-threshold; probability weighted moment estimators; extreme value index; asymptotic normality; extreme quantile estimation
资金
- FCT [PTDC /MAT /112770/2009, EXPL/MAT-STA/0622/2013, PEst-OE/MAT/UI0006/2014]
- Fundação para a Ciência e a Tecnologia [PTDC/MAT/112770/2009, EXPL/MAT-STA/0622/2013] Funding Source: FCT
In extreme value theory, there are two fundamental approaches, both widely used: the block maxima (BM) method and the peaks-over-threshold (POT) method. Whereas much theoretical research has gone into the POT method, the BM method has not been studied thoroughly. The present paper aims at providing conditions under which the BM method can be justified. We also provide a theoretical comparative study of the methods, which is in general consistent with the vast literature on comparing the methods all based on simulated data and fully parametric models. The results indicate that the BM method is a rather efficient method under usual practical conditions. In this paper, we restrict attention to the i.i.d. case and focus on the probability weighted moment (PWM) estimators of Hosking, Wallis and Wood [Technometrics (1985) 27 251-261].
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据