Local likelihood smoothing of sample extremes

Authors


A. C. Davison Department of Mathematics, Swiss Federal Institute of Technology, 1015 Lausanne, SwitzerlandAnthony.Davison@epfl.ch

Abstract

Trends in sample extremes are of interest in many contexts, an example being environmental statistics. Parametric models are often used to model trends in such data, but they may not be suitable for exploratory data analysis. This paper outlines a semiparametric approach to smoothing sample extremes, based on local polynomial fitting of the generalized extreme value distribution and related models. The uncertainty of fits is assessed by using resampling methods. The methods are applied to data on extreme temperatures and on record times for the women's 3000 m race.

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