论文信息 - Statistical Estimation in Extreme Value Theory

Statistical Estimation in Extreme Value Theory

If the maximum (or minimum) of a sample, properly standardized, has a nondegenerate limit distribution (as the sample size tends to ∞) then for every fixed k, the joint distribution of the k upper (lower) sample extremes converges to a nondegenerate limit. Based on this limiting distribution, if only sample extremes are available (e.g. in life testing situations) tail parameters can be consistently estimated.

Ishay Weissman | I. Weissman

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