Distributed inference for the extreme value index

Statistics of heteroscedastic extremes

Liujun Chen, Deyuan Li and Chen Zhou

Biometrika, 2022, vol. 109, issue 1, 257-264

Abstract: SummaryIn this paper we investigate a divide-and-conquer algorithm for estimating the extreme value index when data are stored in multiple machines. The oracle property of such an algorithm based on extreme value methods is not guaranteed by the general theory of distributed inference. We propose a distributed Hill estimator and establish its asymptotic theories. We consider various cases where the number of observations involved in each machine can be either homogeneous or heterogeneous, and either fixed or varying according to the total sample size. In each case we provide a sufficient, sometimes also necessary, condition under which the oracle property holds.

Keywords: Distributed Hill estimator; Distributed inference; Extreme value index (search for similar items in EconPapers)
Date: 2022
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