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Adapting the Hill estimator to distributed inference: dealing with the bias |
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| Authors: | Chen Liujun Li Deyuan Zhou Chen |
| Affiliation: | 1.School of Management, Fudan University, 220 Handan Road, Shanghai, 200433, P.R. China ;2.Erasmus School of Economics, Erasmus University Rotterdam, P.O. Box 1738, 3000DR, Rotterdam, The Netherlands ;3.Economic Policy and Research Division, Bank of The Netherlands, P.O. Box 98, 1000AB, Amsterdam, The Netherlands ; |
| Abstract: | Extremes - The distributed Hill estimator is a divide-and-conquer algorithm for estimating the extreme value index when data are stored in multiple machines. In applications, estimates based on the... |
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