Finite sample inference for extreme value distributions
نویسندگان
چکیده
We consider the problem of small sample inference for the generalised extreme value distribution. In particular, we show the existence of approximate and exact ancillary statistics for this distribution and that small sample likelihood based inference is greatly improved by conditioning on these statistics. Ignoring the ancillary statistics in inference can have severe consequences in some standard applications of extreme value theory. We illustrate this via simulation and by analysis of two data sets, one based on sea-levels and the other on insurance claims.
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