On the block maxima method in extreme value theory: PWM estimators

By Ana Ferreira, Laurens de Haan. 2013

227 citations recorded by the source corpus.

In extreme value theory, there are two fundamental approaches, both widely used: the block maxima (BM) method and the peaks-over-threshold (POT) method. Whereas much theoretical research has gone into the POT method, the BM method has not been studied thoroughly. The present paper aims at providing conditions under which the BM method can be justified. We also provide a theoretical comparative study of the methods, which is in general consistent with the vast literature on comparing the methods all based on simulated data and fully parametric models. The results indicate that the BM method is a rather efficient method under usual practical conditions. In this paper, we restrict attention to the i.i.d. case and focus on the probability weighted moment (PWM) estimators of Hosking, Wallis and Wood [Technometrics (1985) 27 251-261].

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d261c58c055744148702173a8609c04be30af2c8

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Citations in the corpus

Modeling jointly low, moderate, and heavy rainfall intensities without a threshold selection (2016, methodology): “: MODELLING JOINTLY LOW, MODERATE AND HEAVY RAINFALL X - 5 Since this weight function is non-decreasing, takes values in (0, 1] and tends to unity as 67 x→∞, Frigessi et al. [2002] argued that it can play the role of an unsupervised threshold 68 selection algorithm. While Frigessi et al. [2002] chos”
Maximum likelihood estimators based on the block maxima method (2017, methodology): “Similarly as in Ferreira and de Haan [10], our comparative study is restricted to the range ρ ∈ [−1, 0] where second order conditions for BM and POT are comparable (cf.”