Statistics of Extremes by Oracle Estimation
نویسندگان
چکیده
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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تاریخ انتشار 2007