John Einmahl, Tilburg University, The Netherlands
Extreme value Inference for general heterogeneous data
We extend extreme value statistics to independent data with possibly very different distributions. In particular, we present novel asymptotic normality results for the Hill estimator, which now estimates the positive extreme value index of the average distribution. Due to the heterogeneity, the asymptotic variance can be substantially smaller than that in the i.i.d. case. As a special case, we consider a heterogeneous scales model where the asymptotic variance can be calculated explicitly. The primary tool for the proofs is the functional central limit theorem for a weighted tail empirical process. A simulation study shows the good finite-sample behavior of our limit theorems. We present an application to assess the tail heaviness of earthquake energies. This is joint work with Yi He (Univ. of Amsterdam).