STATISTICAL INFERENCE ON A CHANGING EXTREME VALUE DEPENDENCE STRUCTURE

• 成果类型: Article
• 署名作者: Drees, Holger
• 署名单位: University of Hamburg
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/23-AOS2314
• 发表日期: 2023
• 页码: 1824-1849
• 关键词: nonparametric-estimation; spectral measure

摘要

We analyze the extreme value dependence of independent, not necesMore specifically, we propose estimators of the spectral measure locally at some time point and of the spectral measures integrated over time. The uniform asymptotic normality of these estimators is proved under suitable nonparametric smoothness and regularity assumptions. We then use the process convergence of the integrated spectral measure to devise consistent tests for the null hypothesis that the spectral measure does not change over time.