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Abstract Details
Activity Number:
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180
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Type:
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Contributed
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Date/Time:
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Monday, July 30, 2012 : 10:30 AM to 12:20 PM
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Sponsor:
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IMS
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Abstract - #306430 |
Title:
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Extreme Value Analysis with Nonstationary Observations
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Author(s):
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Chen Zhou*+ and Laurens de Haan
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Companies:
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De Nederlandsche Bank and Erasmus University Rotterdam
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Address:
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Economics and Research Division, Amsterdam 1000AB, , Netherlands
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Keywords:
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tail empirical process ;
peak-over-threshold ;
the Hill estimator ;
non-stationarity
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Abstract:
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We consider extreme value analysis based on independent observations from non-stationary distributions with comparable tails. We prove that the tail region of the "empirical distribution function" based on the non-stationary observations is a valid estimation for that of the "average" distribution function. The estimator possesses consistency and asymptotic normality in the function space. A direct consequence is that usual estimators for the extreme value index based on the peak-over-threshold (POT) approach, such as the Hill estimator, remains valid in the non-stationary case. This can be generalized to all extreme value analysis based on the POT approach.
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