Local asymptotic normality in \(\delta\) of standard generalized Pareto processes

DOI10.1016/j.jspi.2011.12.011zbMath1428.62193arXiv1108.0921OpenAlexW1853391782MaRDI QIDQ434526

Michael Falk, Stefan Aulbach

Publication date: 16 July 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.0921

zbMATH Keywords

asymptotic efficiencylocal asymptotic normalitymax-stable processgeneralized Pareto processfunctional extreme value theorypoint process of exceedancesregular estimator sequence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (3)

Testing for a generalized Pareto process ⋮ On functional records and champions ⋮ Max-stable processes and the functional \(D\)-norm revisited

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• On spatial extremes: with application to a rainfall problem
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• Spatial extremes: models for the stationary case

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