Trends in extreme value indices

Laurens de Haan, Chen Zhou
2020 Journal of the American Statistical Association  
We consider extreme value analysis for independent but nonidentically distributed observations. In particular, the observations do not share the same extreme value index. Assuming continuously changing extreme value indices, we provide a nonparametric estimate for the functional extreme value index. Besides estimating the extreme value index locally, we also provide a global estimator for the trend and its joint asymptotic theory. The asymptotic theory for the global estimator can be used for
more » ... sting a prespecified parametric trend in the extreme value indices. In particular, it can be applied to test whether the extreme value index remains at a constant level across all observations. ARTICLE HISTORY
doi:10.1080/01621459.2019.1705307 fatcat:r7rrnthwrvc65diavx6mbg7zne