Adapting the Hill estimator to distributed inference: dealing with the bias
Abstract
The distributed Hill estimator is a divide-and-conquer algorithm for estimating the extreme value index when data are stored in multiple machines. In applications, estimates based on the distributed Hill estimator can be sensitive to the choice of the number of the exceedance ratios used in each machine. Even when choosing the number at a low level, a high asymptotic bias may arise. We overcome this potential drawback by designing a bias correction procedure for the distributed Hill estimator, which adheres to the setup of distributed inference. The asymptotically unbiased distributed estimator we obtained, on the one hand, is applicable to distributed stored data, on the other hand, inherits all known advantages of bias correction methods in extreme value statistics.
Keywords
Cite
@article{arxiv.2112.10329,
title = {Adapting the Hill estimator to distributed inference: dealing with the bias},
author = {Liujun Chen and Deyuan Li and Chen Zhou},
journal= {arXiv preprint arXiv:2112.10329},
year = {2021}
}