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stat.ME2021
Adapting the Hill estimator to distributed inference: dealing with the bias
Liujun Chen, Deyuan Li, Chen Zhou
The distributed Hill estimator is a divide-and-conquer algorithm for estimating the extreme value index when data are stored in multiple machines. In applications, estimates based…
stat.ME2021
Distributed Inference for Tail Risk
Liujun Chen, Deyuan Li, Chen Zhou
For measuring tail risk with scarce extreme events, extreme value analysis is often invoked as the statistical tool to extrapolate to the tail of a distribution. The presence of la…