Extreme Value Statistics in Semi-Supervised Models

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Abstract

We consider extreme value analysis in a semi-supervised setting, where we observe, next to the n data on the target variable, n +m data on one or more covariates. This is called the semi-supervised model with n labeled and m unlabeled data. By exploiting the tail dependence between the target variable and the covariates, we derive an estimator for the extreme value index of the target variable in this setting and establish its asymptotic behavior. Our estimator substantially improves the univariate estimator, based on only the n target variable data, in terms of asymptotic variance whereas the asymptotic bias remains unchanged. We present a simulation study in which the asymptotic results are confirmed and also an extreme quantile estimator is derived and its improved performance is shown. Finally the estimation method is applied to rainfall data in France.
Original languageEnglish
Place of PublicationTilburg
PublisherCentER, Center for Economic Research
Number of pages20
Volume2021-007
Publication statusPublished - 2 Mar 2021

Publication series

NameCentER Discussion Paper
Volume2021-007

Keywords

  • Asymptotic normality
  • extreme value index
  • semi-supervised inference
  • tail dependence
  • variance reduction

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