Statistics of extremes by oracle estimation

Details Statistics of extremes by oracle estimation Statistics of extremes by oracle estimation

2008-08-07

arxiv.org/abs/0808.0976v1

Annals of Statistics 2008, Vol. 36, No. 4, 1619-1648

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/07-AOS535 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of

Scientific paper

10.1214/07-AOS535

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.

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