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Abstract Details

Activity Number: 180
Type: Contributed
Date/Time: Monday, July 30, 2012 : 10:30 AM to 12:20 PM
Sponsor: IMS
Abstract - #306430
Title: Extreme Value Analysis with Nonstationary Observations
Author(s): Chen Zhou*+ and Laurens de Haan
Companies: De Nederlandsche Bank and Erasmus University Rotterdam
Address: Economics and Research Division, Amsterdam 1000AB, , Netherlands
Keywords: tail empirical process ; peak-over-threshold ; the Hill estimator ; non-stationarity
Abstract:

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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