Weak consistency of extreme value estimators in C[0,1]

• 成果类型: Article
• 署名作者: De Haan, L; Lin, T
• 署名单位: Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1074290334
• 发表日期: 2003
• 页码: 1996-2012
• 关键词: index

摘要

We prove that when the distribution of a stochastic process in C [0, 1] is in the domain of attraction of a max-stable process, then natural estimators for the extreme-value index (which is now a continuous function) and for the mean measure of the limiting Poisson process are consistent in the appropriate topologies. The ultimate goal, estimating probabilities of small (failure) sets, will be considered later.