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. Most methods are based on asymptotic arguments, like minimizing the asymptotic mse, that do not perform well in finite samples. Here we advance a data driven method that minimizes the maximum distance between...

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...

In certain cases the distribution of the normalized maximumof a sample can be better approximated by a sequence ofdifferent extreme value distributions than by the final one. Weshow that these cases are rather restricted and that the possibleimprovement is not spectacular.