Year: 2014
Type: article
Abstract: The rate of convergence in extreme value statistics is nonuniversal and can be arbitrarily slow. Further, the relative error can be unbounded in the tail of the approximation, leading to difficulty in extrapolating the extreme value fit beyond the available data. We introduce the T method, and show that by using simple nonlinear transformations the extreme value approximation can be rendered rapidly convergent in the bulk, and asymptotic in the tail, thus fixing both issues. The transformations are often parametrized by just one parameter, which can be estimated numerically. The classical extreme value method is shown to be a special case of the proposed method. We demonstrate that vastly improved results can be obtained with almost no extra cost.
Source: Physical Review E
Author: Ashivni Shekhawat
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W1982572918