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Multiple thresholds in extremal parameter estimation
Extremes ( IF 1.3 ) Pub Date : 2018-10-03 , DOI: 10.1007/s10687-018-0337-5
Julian Sun , Gennady Samorodnitsky

Selecting the number of upper order statistics to use in extremal inference or selecting the threshold above which we perform the extremal inference is a common step in applications of extreme value theory. Not only is the selection itself difficult, but the large part of the sample below the threshold may potentially carry useful information. We propose an approach that takes an extremal parameter estimator and modifies it to allow for using multiple thresholds instead of a single one. We apply this approach to the problem of estimating the extremal index and demonstrate its power both on simulated and real data.

中文翻译:

极值参数估计中的多个阈值

在极值理论的应用中,选择用于极值推理的高阶统计数或选择执行极值推理的阈值是通常的步骤。选择本身不仅困难,而且低于阈值的大部分样本都可能携带有用的信息。我们提出一种采用极值参数估计器并将其修改为允许使用多个阈值而不是单个阈值的方法。我们将这种方法应用于估计极值指标的问题,并展示其在模拟和真实数据上的作用。
更新日期:2018-10-03
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