C[0,1]中极值估计量的弱相合性

Weak consistency of extreme value estimators in C[0,1]

Annals of Statistics · 2003
被引 15
ABS 4★

中文导读

证明了当C[0,1]中随机过程的分布属于最大稳定过程的吸引域时,极值指数(连续函数)和极限泊松过程均值测度的自然估计量在适当拓扑下是相合的。

Abstract

We prove that when the distribution of a stochastic process in C[0,1]$ is in the domain of attraction of a max-stable process, then natural estimators for the extreme-value index (which is now a continuous function) and for the mean measure of the limiting Poisson process are consistent in the appropriate topologies. The ultimate goal, estimating probabilities of small (failure) sets, will be considered later.

极值理论随机过程统计估计相合性