期刊
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
卷 116, 期 535, 页码 1265-1279出版社
TAYLOR & FRANCIS INC
DOI: 10.1080/01621459.2019.1705307
关键词
Hill estimator; Local and global estimation; Peak over threshold; Stochastic integral
This study explores extreme value analysis for independent but nonidentically distributed observations, providing a nonparametric estimate for the functional extreme value index. In addition to locally estimating the extreme value index, a global estimator for the trend and its joint asymptotic theory are also offered for testing a prespecified parametric trend in the extreme value indices. It can be applied to test whether the extreme value index remains at a constant level across all observations.
We consider extreme value analysis for independent but nonidentically distributed observations. In particular, the observations do not share the same extreme value index. Assuming continuously changing extreme value indices, we provide a nonparametric estimate for the functional extreme value index. Besides estimating the extreme value index locally, we also provide a global estimator for the trend and its joint asymptotic theory. The asymptotic theory for the global estimator can be used for testing a prespecified parametric trend in the extreme value indices. In particular, it can be applied to test whether the extreme value index remains at a constant level across all observations.
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