scientific article; zbMATH DE number 1026035
From MaRDI portal
Publication:4342744
zbMath0878.26002MaRDI QIDQ4342744
Ulrich Stadtmüller, Laurens De Haan
Publication date: 24 June 1997
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Laplace transformTauberian theoremextreme value theoryinverse functionsregularly varying functionslimit functions
Rate of growth of functions, orders of infinity, slowly varying functions (26A12) Tauberian theorems (40E05)
Related Items (only showing first 100 items - show all)
On maximum likelihood estimation of the extreme value index. ⋮ Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution. ⋮ Tail product-limit process for truncated data with application to extreme value index estimation ⋮ Heavy tailed durations of regional rainfall. ⋮ Tail asymptotics of generalized deflated risks with insurance applications ⋮ Bias correction in extreme value statistics with index around zero ⋮ Estimation of the extreme-value index and generalized quantile plots ⋮ Semi-parametric approach to the Hasofer-Wang and Greenwood statistics in extremes ⋮ Kernel estimation of the tail index of a right-truncated Pareto-type distribution ⋮ Bootstrapping endpoint ⋮ Estimation of the Ruin Probability in Infinite Time for Heavy Right-Tailed Losses ⋮ Box–Cox transformations and heavy-tailed distributions ⋮ A nonparametric sequential test with power 1 for the mean of Lévy-stable laws with infinite variance ⋮ Weak properties and robustness of t-Hill estimators ⋮ Approximation of high quantiles from intermediate quantiles ⋮ A local moment type estimator for the extreme value index in regression with random covariates ⋮ Tails of subordinated laws: The regularly varying case ⋮ Haezendonck-Goovaerts risk measure with a heavy tailed loss ⋮ A general class of estimators of the extreme value index ⋮ Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model ⋮ Best attainable rates of convergence for estimators of the stable tail dependence function ⋮ Estimating the conditional tail expectation in the case of heavy-tailed losses ⋮ Estimating L-functionals for heavy-tailed distributions and application ⋮ Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory ⋮ Weak convergence of the empirical mean excess process with application to estimate the negative tail index ⋮ Estimation of central shapes of error distributions in linear regression problems ⋮ Estimation of the third-order parameter in extreme value statistics ⋮ Weak limits for exploratory plots in the analysis of extremes ⋮ Asymptotically unbiased estimation of the second order tail parameter ⋮ Risk concentration under second order regular variation ⋮ On the tail index of a heavy tailed distribution ⋮ Asymptotically unbiased estimators for the extreme-value index ⋮ Confidence regions for high quantiles of a heavy tailed distribution ⋮ Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks ⋮ Second-order expansions of the risk concentration based on CTE ⋮ An estimator of heavy tail index through the generalized jackknife methodology ⋮ EVT-based estimation of risk capital and convergence of high quantiles ⋮ Second-order asymptotics of the risk concentration of a portfolio with deflated risks ⋮ Bootstrap estimators for the tail-index and for the count statistics of graphex processes ⋮ First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation ⋮ Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses ⋮ Second order regular variation and conditional tail expectation of multiple risks ⋮ Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts ⋮ Risk concentration and diversification: second-order properties ⋮ Extreme residual dependence for random vectors and processes ⋮ On multivariate separating Hill estimator under estimated location and scatter ⋮ Convergence of extreme values of Poisson point processes at small times ⋮ Tail approximations to the density function in EVT ⋮ On testing extreme value conditions ⋮ Goodness-of-fit tests for a heavy tailed distribution ⋮ Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence ⋮ Reiss and Thomas' automatic selection of the number of extremes ⋮ Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach ⋮ A test procedure for detecting super-heavy tails ⋮ Comparing extreme models when the sign of the extreme value index is known ⋮ Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour ⋮ Looking for max-semistability: a new test for the extreme value condition ⋮ The contribution of the maximum to the sum of excesses for testing max-domains of attraction ⋮ Generalized Pickands estimators for the extreme value index ⋮ The extent of the maximum likelihood estimator for the extreme value index ⋮ Detecting finiteness in the right endpoint of light-tailed distributions ⋮ Asymptotic normality of extreme value estimators on \(C[0,1\)] ⋮ Strong convergence bound of the Pareto index estimator under right censoring ⋮ Weighted least squares estimation of the extreme value index ⋮ Tail and dependence behavior of levels that persist for a fixed period of time ⋮ Refining the central limit theorem approximation via extreme value theory ⋮ Approximations to the tail empirical distribution function with application to testing extreme value conditions ⋮ Tail index estimation based on survey data ⋮ A practical method for analysing heavy tailed data ⋮ A class of distribution functions with less bias in extreme value estimation ⋮ Tail asymptotics under beta random scaling ⋮ Multivariate conditional versions of Spearman's rho and related measures of tail dependence ⋮ Discussion on ``Human life is unlimited but short by Holger Rootzén and Dmitrii Zholud ⋮ IPO estimation of heaviness of the distribution beyond regularly varying tails ⋮ Existence and consistency of the maximum likelihood estimator for the extreme value index ⋮ Estimation of bivariate excess probabilities for elliptical models ⋮ Statistics of extremes under random censoring ⋮ Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions ⋮ Some aspects of extreme value statistics under serial dependence ⋮ Bootstrap and empirical likelihood methods in extremes ⋮ A two-step estimator of the extreme value index ⋮ Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime ⋮ OPTIMAL SEMIPARAMETRIC INFERENCE FOR THE TAIL INDEX BASED ON RATIOS OF THE LARGEST EXTREMES ⋮ ON THE PROBABILITY OF BEING MAXIMAL ⋮ From extended regular variation to regular variation with application in extreme value statis\-tics ⋮ Rate of convergence for the generalized Pareto approximation of the excesses ⋮ Second-order refined peaks-over-threshold modelling for heavy-tailed distributions ⋮ Second-order regular variation, convolution and the central limit theorem ⋮ Edgeworth expansion of densities of order statistics with fixed rank ⋮ Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation ⋮ A horse race between the block maxima method and the peak-over-threshold approach ⋮ Asymptotic normality of the extreme quantile estimator based on the POT method ⋮ How to make a Hill plot. ⋮ Estimating the index of a stable distribution ⋮ On a generalized Pickands estimator of the extreme value index ⋮ Optimal asymptotic estimation of small exceedance probabilities ⋮ Nonparametric estimation of the conditional tail copula ⋮ The Edgeworth expansion for distributions of extreme values ⋮ Gaussian approximation to the extreme value index estimator of a heavy-tailed distribution under random censoring ⋮ Some comments on the estimation of a dependence index in bivariate extreme value statistics.
This page was built for publication:
