Data driven extreme value distribution estimation: Derivation of the Mean Integrated Squared Error, optimal bandwidth selection and stability conditions
Statistics Theory
2026-05-21 v1 Methodology
Statistics Theory
Abstract
We introduce the data driven extreme value distribution (DDEVD) estimator, a kernel-based method for estimating extreme value distributions from data. We derive its mean integrated squared error (MISE) in detail, use it to compute the optimal bandwidth and establish stability conditions for the bandwidth optimization procedure.
Cite
@article{arxiv.2605.21416,
title = {Data driven extreme value distribution estimation: Derivation of the Mean Integrated Squared Error, optimal bandwidth selection and stability conditions},
author = {Michael Sandbichler and Tobias Hell},
journal= {arXiv preprint arXiv:2605.21416},
year = {2026}
}
Comments
37 pages, 5 figures