Extreme Value Analysis based on Blockwise Top-Two Order Statistics
基于分块前两大次序统计量的极值分析
Extreme value analysis for time series is often based on the block maxima method, in particular for environmental applications. In the classical univariate case, the latter is based on fitting an extreme-value distribution to the sample of (annual) block maxima. Mathematically, the target parameters of the extreme-value distribution also show up in limit results for other high order statistics, which suggests estimation based on blockwise large order statistics. It is shown…