Application of nonparametric approach to extreme value inference in distribution estimation of sample maximum and its properties

Summary Extreme value theory has constructed asymptotic properties of the sample maximum. This article concerns probability distribution estimation of the sample maximum. The traditional approach is parametric fitting to the limiting distribution—the generalised extreme value distribution; however, the model in non‐limiting cases is misspecified to a certain extent. We propose a plug‐in type of nonparametric estimator that does not need model specification. Asymptotic properties of the distribution estimator are derived. The simulation study numerically investigates the relative performance in finite‐sample cases. This study assumes that the underlying distribution of the original sample belongs to one of the Hall class, the Weibull class or the bounded class, whose types of the limiting distributions are all different: the Fréchet, Gumbel or Weibull. It is proven that the convergence rate of the parametric fitting estimator depends on both the extreme value index and the second‐order parameter, and gets slower as the extreme value index tends to zero. On the other hand, the rate of the nonparametric estimator is proven to be independent of the extreme value index under certain conditions. The numerical performances of the parametric fitting estimator and the nonparametric estimator are compared, which shows that the nonparametric estimator performs better, especially for the extreme value index close to zero. Finally, we report two real case studies: the Potomac River peak stream flow (cfs) data and the Danish Fire Insurance data.