Extreme value inference for heterogeneous power law data
DOI10.1214/23-aos2294OpenAlexW4386035719MaRDI QIDQ6177326
Publication date: 31 August 2023
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/journals/annals-of-statistics/volume-51/issue-3/Extreme-value-inference-for-heterogeneous-power-law-data/10.1214/23-AOS2294.full
functional central limit theoremHill estimatorextreme value statisticsweighted tail empirical processheterogeneous scales modelnonidentical distributions
Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Functional limit theorems; invariance principles (60F17)
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