Conditioning exceedances on covariate processes
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Publication:906628
DOI10.1007/S10687-010-0124-4zbMath1329.62225OpenAlexW1978234668MaRDI QIDQ906628
Ulf Cormann, Rolf-Dieter Reiss
Publication date: 22 January 2016
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-010-0124-4
conditional maximum likelihood estimationcovariate informationpoint processes of exceedancesstatistics of extreme values
Point estimation (62F10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Uses Software
Cites Work
- Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
- A course on point processes
- Local Likelihood Estimation
- Analysis of Financial Time Series
- An introduction to statistical modeling of extreme values
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