Testing for a generalized Pareto process

DOI10.1214/12-EJS728zbMath1295.62017arXiv1201.6611OpenAlexW3099624150MaRDI QIDQ1950879

Michael Falk, Stefan Aulbach

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.6611

zbMATH Keywords

local asymptotic normalityasymptotic relative efficiencymax-stable processgeneralized Pareto processfunctional extreme value theorypoint process of exceedancescentral sequenceasymptotic optimal test sequence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Asymptotic properties of parametric tests (62F05)

Related Items (4)

On functional records and champions ⋮ The spectrogram: a threshold-based inferential tool for extremes of stochastic processes ⋮ A two-step approach to model precipitation extremes in California based on max-stable and marginal point processes ⋮ Max-stable processes and the functional \(D\)-norm revisited

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