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February 2015 On the block maxima method in extreme value theory: PWM estimators
Ana Ferreira, Laurens de Haan
Ann. Statist. 43(1): 276-298 (February 2015). DOI: 10.1214/14-AOS1280

Abstract

In extreme value theory, there are two fundamental approaches, both widely used: the block maxima (BM) method and the peaks-over-threshold (POT) method. Whereas much theoretical research has gone into the POT method, the BM method has not been studied thoroughly. The present paper aims at providing conditions under which the BM method can be justified. We also provide a theoretical comparative study of the methods, which is in general consistent with the vast literature on comparing the methods all based on simulated data and fully parametric models. The results indicate that the BM method is a rather efficient method under usual practical conditions.

In this paper, we restrict attention to the i.i.d. case and focus on the probability weighted moment (PWM) estimators of Hosking, Wallis and Wood [Technometrics (1985) 27 251–261].

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Ana Ferreira. Laurens de Haan. "On the block maxima method in extreme value theory: PWM estimators." Ann. Statist. 43 (1) 276 - 298, February 2015. https://doi.org/10.1214/14-AOS1280

Information

Published: February 2015
First available in Project Euclid: 9 December 2014

zbMATH: 1310.62064
MathSciNet: MR3285607
Digital Object Identifier: 10.1214/14-AOS1280

Subjects:
Primary: 62G32
Secondary: 62G20, 62G30

Rights: Copyright © 2015 Institute of Mathematical Statistics

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Vol.43 • No. 1 • February 2015
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