Detecting a conditional extreme value model
From MaRDI portal
Publication:650748
DOI10.1007/s10687-009-0097-3zbMath1226.60078arXiv0902.2996MaRDI QIDQ650748
Bikramjit Das, Sidney I. Resnick
Publication date: 27 November 2011
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0902.2996
regular variation; domain of attraction; heavy tails; asymptotic independence; conditional extreme value model
60G70: Extreme value theory; extremal stochastic processes
62G32: Statistics of extreme values; tail inference
60B10: Convergence of probability measures
Related Items
Asymptotics of Markov Kernels and the Tail Chain, Regularly varying measures on metric spaces: hidden regular variation and hidden jumps, Transition kernels and the conditional extreme value model, A conditional limit theorem for a bivariate representation of a univariate random variable and conditional extreme values, Conditioning on an extreme component: model consistency with regular variation on cones, On Pearson-Kotz Dirichlet distributions, Estimation of conditional laws given an extreme component, Extremes of independent chi-square random vectors, Exact tail asymptotics in bivariate scale mixture models, Conditional extreme value models: fallacies and pitfalls, Hidden regular variation under full and strong asymptotic dependence, Dimension reduction in multivariate extreme value analysis, Conditional limits of \(W_{p}\) scale mixture distributions, Modeling multiple risks: hidden domain of attraction, Hidden Regular Variation and Detection of Hidden Risks, Models with hidden regular variation: Generation and detection
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Conditioning on an extreme component: model consistency with regular variation on cones
- Extremal dependence analysis of network sessions
- Estimation of conditional laws given an extreme component
- Laws of large numbers for sums of extreme values
- Statistical inference using extreme order statistics
- A simple general approach to inference about the tail of a distribution
- Sea and wind: multivariate extremes at work
- Hidden regular variation, second order regular variation and asymptotic independence
- Limit laws for random vectors with an extreme component
- Characterizations and examples of hidden regular variation
- Statistics for near independence in multivariate extreme values
- Limit theory for multivariate sample extremes
- Concomitant tail behaviour for extremes
- Asymptotic independence and a network traffic model
- A Conditional Approach for Multivariate Extreme Values (with Discussion)
- Consistency of Hill's estimator for dependent data
- QQ Plots, Random Sets and Data from a Heavy Tailed Distribution
- Dependence measures for extreme value analyses