Subsampling extremes: From block maxima to smooth tail estimation

Stefan Wager

Journal of Multivariate Analysis, 2014, vol. 130, issue C, 335-353

Abstract: We study a new estimator for the tail index of a distribution in the Fréchet domain of attraction that arises naturally by computing subsample maxima. This estimator is equivalent to taking a U-statistic over a Hill estimator with two order statistics. The estimator presents multiple advantages over the Hill estimator. In particular, it has asymptotically C∞ sample paths as a function of the threshold k, making it considerably more stable than the Hill estimator. The estimator also admits a simple and intuitive threshold selection rule that does not require fitting a second-order model.

Date: 2014
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DOI: 10.1016/j.jmva.2014.06.010

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