Statistics of extremes by oracle estimation
| dc.creator | Grama, Ion | |
| dc.creator | Spokoiny, Vladimir | |
| dc.date | 2008-08-07 | |
| dc.date.accessioned | 2026-07-07T09:55:22Z | |
| dc.date.available | 2026-07-07T09:55:22Z | |
| dc.description | 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. | |
| dc.description | 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) | |
| dc.identifier | https://arxiv.org/abs/0808.0976 | |
| dc.identifier | http://arxiv.org/abs/0808.0976 | |
| dc.identifier | Annals of Statistics 2008, Vol. 36, No. 4, 1619-1648 | |
| dc.identifier | doi:10.1214/07-AOS535 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/166601 | |
| dc.subject | Statistics Theory | |
| dc.subject | 62G32, 62G08 (Primary) 62G05 (Secondary) | |
| dc.title | Statistics of extremes by oracle estimation | |
| dc.type | text |