Asymptotic conditional distribution of exceedance counts

DOI10.1239/AAP/1331216653MaRDI QIDQ2879916zbMATH OpenOpenAlexFDO

Authors Michael Falk, Diana Tichy

Publication date 10 April 2012

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1331216653

zbMATH Keywords

copulaD-normexceedance over high thresholdextremal indexfragility indexgeneralized Pareto distribution (GPD)GPD copulamultivariate extreme value theorypeaks-over-threshold approach

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

Recommendations

• Asymptotic conditional distribution of exceedance counts: fragility index with different margins
• High level exceedances in stationary sequences with extremal index
• Rare-event asymptotics for the number of exceedances of multiplicative factor models
• Approximate distributions of clusters of extremes
• On the exceedances of exchangeable random variables

Cited in

(11)

• Asymptotic conditional distribution of exceedance counts: fragility index with different margins
• Generalized Pareto copulas: a key to multivariate extremes
• On the exceedances of exchangeable random variables
• Extremal properties of M4 processes
• Fragility index of block tailed vectors
• Rare-event asymptotics for the number of exceedances of multiplicative factor models
• Statistical inference for max-stable processes by conditioning on extreme events
• Exceedance counts and GOD's order statistics
• Estimation and asymptotics for buffered probability of exceedance
• On asymptotic distributions of exceedance statistics
• Sojourn times and the fragility index

This page was built for publication: Asymptotic conditional distribution of exceedance counts

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2879916)