• Corpus ID: 220363838

Estimating Extreme Value Index by Subsampling for Massive Datasets with Heavy-Tailed Distributions

@article{Li2020EstimatingEV,
  title={Estimating Extreme Value Index by Subsampling for Massive Datasets with Heavy-Tailed Distributions},
  author={Yongxin Li and Liuju Chen and Deyuan Li and Hansheng Wang},
  journal={arXiv: Methodology},
  year={2020}
}
Modern statistical analyses often encounter datasets with massive sizes and heavy-tailed distributions. For datasets with massive sizes, traditional estimation methods can hardly be used to estimate the extreme value index directly. To address the issue, we propose here a subsampling-based method. Specifically, multiple subsamples are drawn from the whole dataset by using the technique of simple random subsampling with replacement. Based on each subsample, an approximate maximum likelihood… 

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