scientific article
From MaRDI portal
Publication:3486670
zbMath0706.62039MaRDI QIDQ3486670
Anthony C. Davison, Richard L. Smith
Publication date: 1990
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
seasonalitymaximum likelihoodregressiongeneralized extreme value distributionprofile likelihoodgeneralized Pareto distributionserial dependencepeaks over thresholdreturn levelpoint process of exceedanceswave heightsdata on river flowsexceedances over high thresholdsmodel-checking proceduressiting of nuclear installations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric inference (62F99)
Related Items (only showing first 100 items - show all)
Rare event probability estimation in the presence of epistemic uncertainty on input probability distribution parameters ⋮ Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles ⋮ Efficient likelihood-based inference for the generalized Pareto distribution ⋮ Bayesian analysis of tail asymmetry based on a threshold extreme value model ⋮ Strong convergence of multivariate point processes of exceedances ⋮ Statistical inference for inter-arrival times of extreme events in bursty time series ⋮ Likelihood inference for generalized Pareto distribution ⋮ Bayesian threshold selection for extremal models using measures of surprise ⋮ Detecting tail behavior: mean excess plots with confidence bounds ⋮ Testing the assumptions behind importance sampling ⋮ Nonparametric estimation of extreme conditional quantiles with functional covariate ⋮ Multivariate flexible Pareto model: dependency structure, properties and characterizations ⋮ Kernel regression with Weibull-type tails ⋮ Bayesian approaches for analyzing earthquake catastrophic risk ⋮ Latent process modelling of threshold exceedances in hourly rainfall series ⋮ Estimation of the extreme-value index and generalized quantile plots ⋮ Extreme value modelling of water-related insurance claims ⋮ Time-varying extreme value dependence with application to leading European stock markets ⋮ Free extreme values ⋮ A default Bayesian procedure for the generalized Pareto distribution ⋮ A Bayesian hierarchical model for spatial extremes with multiple durations ⋮ A time dependent Bayesian nonparametric model for air quality analysis ⋮ Parameter estimation for 2-parameter generalized Pareto distribution by POME ⋮ A moment estimator for the conditional extreme-value index ⋮ Convergence of extreme value statistics in a two-layer quasi-geostrophic atmospheric model ⋮ A Poisson process reparameterisation for Bayesian inference for extremes ⋮ \(k\)th-order Markov extremal models for assessing heatwave risks ⋮ A loss function approach to identifying environmental exceedances ⋮ Multivariate generalized Pareto distributions ⋮ Estimating a bivariate tail: a copula based approach ⋮ Accounting for choice of measurement scale in extreme value modeling ⋮ Estimation of spatial max-stable models using threshold exceedances ⋮ Testing for a multivariate generalized Pareto distribution ⋮ A hybrid Pareto model for asymmetric fat-tailed data: the univariate case ⋮ A flexible extreme value mixture model ⋮ Empirical likelihood based inference for conditional Pareto-type tail index ⋮ Conditioning exceedances on covariate processes ⋮ Nonparametric spatial models for extremes: application to extreme temperature data ⋮ Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data ⋮ Estimating the conditional tail index by integrating a kernel conditional quantile estimator ⋮ A Bayesian approach to extended models for exceedance ⋮ Influence functions of empirical nonparametric estimators of net reinsurance premiums ⋮ Estimation of extreme quantiles from heavy and light tailed distributions ⋮ Polynomial power-Pareto quantile function models ⋮ Extremal dependence analysis of network sessions ⋮ Spatial modeling of extreme snow depth ⋮ Local polynomial maximum likelihood estimation for Pareto-type distributions. ⋮ Extreme value-based methods for modeling elk yearly movements ⋮ Modeling of claim exceedances over random thresholds for related insurance portfolios ⋮ Numerical convergence of the block-maxima approach to the generalized extreme value distribution ⋮ Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view ⋮ Portfolio risk assessment using multivariate extreme value methods ⋮ Normex, a new method for evaluating the distribution of aggregated heavy tailed risks ⋮ Estimation of the conditional tail index using a smoothed local Hill estimator ⋮ A LAN based Neyman smooth test for Pareto distributions ⋮ A hierarchical model for serially-dependent extremes: a study of heat waves in the western US ⋮ Modeling maxima with autoregressive conditional Fréchet model ⋮ Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles ⋮ A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes ⋮ Geostatistics of dependent and asymptotically independent extremes ⋮ Tail dimension reduction for extreme quantile estimation ⋮ Multivariate peaks over thresholds models ⋮ On the measurement and treatment of extremes in time series ⋮ Bayesian uncertainty management in temporal dependence of extremes ⋮ Goodness-of-fit tests for a heavy tailed distribution ⋮ Regression with response distributions of Pareto-type ⋮ Extreme-value analysis of teletraffic data ⋮ A statistical test procedure for the shape parameter of a generalized Pareto distribution ⋮ A moving window approach for nonparametric estimation of the conditional tail index ⋮ Fitting a parametric distribution for large claims in case of censored or partitioned data ⋮ Improving extreme quantile estimation via a folding procedure ⋮ Kernel estimators of extreme level curves ⋮ Zero-inflated truncated generalized Pareto distribution for the analysis of radio audience data ⋮ Model misspecification in peaks over threshold analysis ⋮ Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels ⋮ Downscaling extremes: a comparison of extreme value distributions in point-source and gridded precipitation data ⋮ Improved threshold diagnostic plots for extreme value analyses ⋮ An extension of the generalized exponential distribution ⋮ A discussion on mean excess plots ⋮ Extreme value modeling under power normalization ⋮ INLA goes extreme: Bayesian tail regression for the estimation of high spatio-temporal quantiles ⋮ Generalized fiducial confidence intervals for extremes ⋮ Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate ⋮ Estimation of the extreme value index and extreme quantiles under random censoring ⋮ Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions ⋮ Review of testing issues in extremes: in honor of Professor Laurens de Haan ⋮ Estimation of the generalized Pareto distribution ⋮ Fitting the generalized Pareto distribution to data using maximum goodness-of-fit estimators ⋮ A semiparametric Bayesian approach to extreme value estimation ⋮ Bias-reduced estimators of the Weibull tail-coefficient ⋮ Spatial sampling plans to monitor the 3-D spatial distribution of extremes in soil pollution surveys ⋮ Second-order refined peaks-over-threshold modelling for heavy-tailed distributions ⋮ Regression estimator for the tail index ⋮ Closed-form maximum likelihood estimator for generalized linear models in the case of categorical explanatory variables: application to insurance loss modeling ⋮ Modelling the clustering of extreme events for short-term risk assessment ⋮ Functional nonparametric estimation of conditional extreme quantiles ⋮ Effect of extrapolation on coverage accuracy of prediction intervals computed from Pareto-type data ⋮ On the use of the peaks over thresholds method for estimating out-of-sample quantiles. ⋮ Threshold selection for extremes under a semiparametric model ⋮ Likelihood estimators for multivariate extremes
Uses Software
This page was built for publication:
