Internet auctions attract numerous agents, but only a few become active bidders. A major difficulty in the structural analysis of internet auctions is that the number of potential bidders is unknown. Under the independent private value paradigm (IPVP)the valuations of the active bidders form a...

The selection of upper order statistics in tail estimation is notoriously difficult. Methods that are based on asymptotic arguments, like minimizing the asymptotic MSE, do not perform well in finite samples. Here, we advance a data-driven method that minimizes the maximum distance between the...

The statistical theory of extremes is extended to observations that are non-stationary and not independent. The non-stationarity over time and space is controlled via the scedasis (tail scale) in the marginal distributions. Spatial dependence stems from multivariate extreme value theory. We...

Recently, a weighted approximation for the tail empirical distribution function has been developed (Approximations to the tail empirical distribution function with application to testing extreme value conditions. preprint, submitted for publication). We show that the same result can also be used...

A useful method to derive limit results for partial maxima and record values of independent, identically distributed random variables is to start from one specific probability distribution and to extend the result for this distribution to a class of distributions.This method involves an extended...

We consider limit distributions of extremes of a process {Yn} satisfying the stochastic difference equation Yn-AnYn-1+Bn, n[greater-or-equal, slanted]1,Y0[greater-or-equal, slanted]0, where {An, Bn} are i.i.d. 2+-valued random pairs, A special case of interest is when {Yn} is derived from a...

Let (X1, Y1), (X2, Y2),..., (Xn, Yn) be a random sample from a bivariate distribution function F which is in the domain of attraction of a bivariate extreme value distribution function G. This G is characterized by the extreme value indices and its spectral measure or angular measure. The...

Parametric models for tail copulas are being used for modeling tail dependence and maximum likelihood estimation is employed to estimate unknown parameters. However, two important questions seem unanswered in the literature: (1) What is the asymptotic distribution of the MLE and (2) how does one...

Let X1,X2,... be i.i.d. random variables and let their distribution be in the domain of attraction of an extreme value distribution. Quite a few estimators of the extreme value index are known to be consistent under the domain of attraction conditions. When it comes to asymptotic normality a...