Distributed Inference for Extreme Value Index

Liujun Chen, D (Deyuan) Li, Chen Zhou

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

In 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.

Original languageEnglish
Pages (from-to)257-264
Number of pages8
JournalBiometrika. A Journal for the Statistical Study of Biological Problems
Volumeaccepted
Issue number1
DOIs
Publication statusPublished - 30 Jan 2021

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