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Distributed inference for the extreme value index
[Statistics of heteroscedastic extremes]

Author

Listed:
  • Liujun Chen
  • Deyuan Li
  • Chen Zhou

Abstract

SummaryIn this paper we investigate a divide-and-conquer algorithm for estimating the extreme value index when data are stored in multiple machines. The oracle property of such an algorithm based on extreme value methods is not guaranteed by the general theory of distributed inference. We propose a distributed Hill estimator and establish its asymptotic theories. We consider various cases where the number of observations involved in each machine can be either homogeneous or heterogeneous, and either fixed or varying according to the total sample size. In each case we provide a sufficient, sometimes also necessary, condition under which the oracle property holds.

Suggested Citation

  • Liujun Chen & Deyuan Li & Chen Zhou, 2022. "Distributed inference for the extreme value index [Statistics of heteroscedastic extremes]," Biometrika, Biometrika Trust, vol. 109(1), pages 257-264.
    • Handle: RePEc:oup:biomet:v:109:y:2022:i:1:p:257-264.
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