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Home | Events Archive | All Block Maxima Method for Estimating the Extreme Value Index
Seminar

All Block Maxima Method for Estimating the Extreme Value Index

  • Series
    PhD Lunch Seminars
  • Field
    Econometrics
  • Location
    Online
  • Date and time

    October 27, 2020
    13:00 - 14:00

Abstract:

The block maxima (BM) approach in extreme value analysis fits a sample of block maxima to the Generalized Extreme Value (GEV) distribution. We consider all possible blocks from a sample, which leads to the All Block Maxima (ABM) estimator. Different from existing estimators based on the BM approach, the ABM estimator is permutation invariant. We show the asymptotic behavior of the ABM estimator, which has the lowest asymptotic variance among all estimators using the BM approach. Simulation studies justify our asymptotic theories. A key step in establishing the asymptotic theory for the ABM estimator is to obtain asymptotic expansions for the tail empirical process based on higher order statistics with weights. Joint work with Chen Zhou.