## On statistical information of extreme order statistics, local extreme value alternatives, and Poisson point processes

Please always quote using this URN: urn:nbn:de:bvb:20-opus-45816

- The aim of the present paper is to clarify the role of extreme order statistics in general statistical models. This is done within the general setup of statistical experiments in LeCam's sense. Under the assumption of monotone likelihood ratios, we prove that a sequence of experiments is asymptotically Gaussian if, and only if, a fixed number of extremes asymptotically does not contain any information. In other words: A fixed number of extremes asymptotically contains information iff the Poisson part of the limit experiment is non-trivial.The aim of the present paper is to clarify the role of extreme order statistics in general statistical models. This is done within the general setup of statistical experiments in LeCam's sense. Under the assumption of monotone likelihood ratios, we prove that a sequence of experiments is asymptotically Gaussian if, and only if, a fixed number of extremes asymptotically does not contain any information. In other words: A fixed number of extremes asymptotically contains information iff the Poisson part of the limit experiment is non-trivial. Suggested by this result, we propose a new extreme value model given by local alternatives. The local structure is described by introducing the space of extreme value tangents. It turns out that under local alternatives a new class of extreme value distributions appears as limit distributions. Moreover, explicit representations of the Poisson limit experiments via Poisson point processes are found. As a concrete example nonparametric tests for Frechet type distributions against stochastically larger alternatives are treated. We find asymptotically optimal tests within certain threshold models.…

Author: | A. Janssen, Frank Marohn |
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URN: | urn:nbn:de:bvb:20-opus-45816 |

Document Type: | Journal article |

Faculties: | Fakultät für Mathematik und Informatik / Institut für Mathematik |

Language: | English |

Year of Completion: | 1994 |

Source: | In: Journal of Multivariate Analysis (1994) 48, 1, 1- 30 |

Dewey Decimal Classification: | 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik |

Release Date: | 2010/04/26 |