Asymptotic theory for extreme value generalized additive models

Abstract: The classical approach to analyzing extreme value data is the generalized Pareto distribution (GPD). When the GPD is used to explain a target variable with the large dimension of covariates, the shape and scale function of covariates included in GPD are sometimes modeled using the generalized additive models (GAM). In contrast to many results of application, there are no theoretical results on the hybrid technique of GAM and GPD, which motivates us to develop its asymptotic theory. We provide the rate of convergence of the estimator of shape and scale functions, as well as its local asymptotic normality.