Trends in Extreme Value Indices

Laurens de Haan and Chen Zhou ()

Journal of the American Statistical Association, 2021, vol. 116, issue 535, 1265-1279

Abstract: We consider extreme value analysis for independent but nonidentically distributed observations. In particular, the observations do not share the same extreme value index. Assuming continuously changing extreme value indices, we provide a nonparametric estimate for the functional extreme value index. Besides estimating the extreme value index locally, we also provide a global estimator for the trend and its joint asymptotic theory. The asymptotic theory for the global estimator can be used for testing a prespecified parametric trend in the extreme value indices. In particular, it can be applied to test whether the extreme value index remains at a constant level across all observations.

Date: 2021
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Citations: View citations in EconPapers (9)

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DOI: 10.1080/01621459.2019.1705307

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