Minimax risk bounds in extreme value theory

DOI10.1214/aos/996986509zbMath1029.62046OpenAlexW2055289862MaRDI QIDQ1848862

Holger Drees

Publication date: 14 November 2002

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

Full work available at URL: https://doi.org/10.1214/aos/996986509

zbMATH Keywords

confidence intervalswhite noiseextreme value indexGaussian shiftconvergence of experimentslocal experimentsminimax affine estimators

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Minimax procedures in statistical decision theory (62C20) Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32)

Related Items (11)

Estimation and inference about tail features with tail censored data ⋮ On posterior consistency of tail index for Bayesian kernel mixture models ⋮ Tail index estimation, concentration and adaptivity ⋮ Weighted empirical processes in the nonparametric inference for Lévy processes ⋮ Asymptotic equivalence of nonparametric autoregression and nonparametric regression ⋮ On fixed-length confidence intervals for a bounded normal mean ⋮ Lower bounds to the accuracy of inference on heavy tails ⋮ Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models ⋮ Estimating tail decay for stationary sequences via extreme values ⋮ Semiparametric lower bounds for tail index estimation ⋮ Asymptotic statistical equivalence for scalar ergodic diffusions

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