Parameter estimation for the generalized extreme value distribution: a method that combines bootstrapping and r largest order statistics (2408.03738v1)

Abstract: A critical problem in extreme value theory (EVT) is the estimation of parameters for the limit probability distributions. Block maxima (BM), an approach in EVT that seeks estimates of parameters of the generalized extreme value distribution (GEV), can be generalized to take into account not just the maximum realization from a given dataset, but the r largest order statistics for a given r. In this work we propose a parameter estimation method that combines the r largest order statistic (r-LOS) extension of BM with permutation bootstrapping: surrogate realizations are obtained by randomly reordering the original data set, and then r-LOS is applied to these shuffled measurements - the mean estimate computed from these surrogate realizations is the desired estimate. We used synthetic observations and real meteorological time series to verify the performance of our method; we found that the combination of r-LOS and bootstrapping resulted in estimates more accurate than when either approach was implemented separately.