Automated selection of r for the r largest order statistics approach with adjustment for sequential testing


The r largest order statistics approach is widely used in extreme value analysis because itmay usemore information from the data than just the block maxima. In practice, the choice of r is critical. If r is too large, bias can occur; if too small, the variance of the estimator can be high. The limiting distribution of the r largest order statistics, denoted… (More)
DOI: 10.1007/s11222-016-9697-3


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