English

How many statistics are needed to characterize the univariate extremes

Methodology 2012-01-31 v1

Abstract

Let X1,X2,...X_{1},X_{2},... be a sequence of independent random variables (rvrv) with common distribution function (dfdf) FF such that F(1)=0F(1)=0. We consider the simple statistical problem : find a statistics family of size m1m\geq 1 whose convergence, in probability or almost surely, to a point of some domain SRm\mathcal{S} \in \mathbb{R}^{m} is equivalent that FF lies in the extremal domain of attraction Γ\Gamma. Such a family, whenever it exists, is called an Empirical Characterizing Statistics Family for the EXTtremes (ECSFEXT). The departure point of this theory goes back to Mason, who proved that the Hill estimator converges a.s. to a positive real number for some particular sequences if and only FF lies in the attaction domain of a Fr\'echet's law. Considered for the whole attraction domain, the question becomes more complex. We provide here an ECSFEXT of nine (9) elements and also characterize the subdomains of Γ\Gamma. The question of lowering m=9 to a minimum number is launched.

Cite

@article{arxiv.1201.5962,
  title  = {How many statistics are needed to characterize the univariate extremes},
  author = {Gane Samb Lo},
  journal= {arXiv preprint arXiv:1201.5962},
  year   = {2012}
}

Comments

26 pages

R2 v1 2026-06-21T20:11:07.741Z