Statistics of extremes by oracle estimation
Statistics Theory
2008-08-08 v1 Statistics Theory
Abstract
We use the fitted Pareto law to construct an accompanying approximation of the excess distribution function. A selection rule of the location of the excess distribution function is proposed based on a stagewise lack-of-fit testing procedure. Our main result is an oracle type inequality for the Kullback--Leibler loss.
Cite
@article{arxiv.0808.0976,
title = {Statistics of extremes by oracle estimation},
author = {Ion Grama and Vladimir Spokoiny},
journal= {arXiv preprint arXiv:0808.0976},
year = {2008}
}
Comments
Published in at http://dx.doi.org/10.1214/07-AOS535 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)