Erik Haufs

Erik Haufs

he/him

PhD Student in Extreme Value Statistics

Posts by Collection

portfolio

publications

Extreme Value Analysis based on Blockwise Top-Two Order Statistics

Published in submitted to Bernoulli, 2025

Extreme value analysis for time series is often based on the block maxima method, in particular for environmental applications. In the classical univariate case, the latter is based on fitting an extreme-value distribution to the sample of (annual) block maxima. Mathematically, the target parameters of the extreme-value distribution also show up in limit results for other high order statistics, which suggests estimation based on blockwise large order statistics. It is shown that a naive approach based on maximizing an inde- pendence log-likelihood yields an estimator that is inconsistent in general. A consistent, bias-corrected estimator is proposed, and is analyzed theoretically and in finite-sample simulation studies. The new estimator is shown to be more efficient than traditional counterparts, for instance for estimating large return levels or return periods

Recommended citation: Bücher, A., and Haufs, E. (2025). Extreme Value Analysis based on Blockwise Top-Two Order Statistics. arXiv preprint. https://arxiv.org/abs/2502.15036
Download Paper

talks

teaching

Biostatistics

Undergraduate course, Heinrich Heine University Düsseldorf, 2022

Grading weekly exercise sheets.

Stochastics

Undergraduate course, Ruhr University Bochum, 2024

Teaching a weekly exercise class.