Conditional extreme value estimation for dependent time series
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Cites work
- A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
- A simple general approach to inference about the tail of a distribution
- Adaptive estimates of parameters of regular variation
- Asymptotic behavior of hill's estimator for autoregressive data
- Basic properties of strong mixing conditions. A survey and some open questions
- Central limit theorems for sums of extreme values
- Consistency of Hill's estimator for dependent data
- Estimating the parameters of rare events
- Extreme value theory for time series. Models with power-law tails
- Heavy tailed time series
- scientific article; zbMATH DE number 3824949 (Why is no real title available?)
- scientific article; zbMATH DE number 469135 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- Inference for extremal regression with dependent heavy-tailed data
- Kernel estimators of extreme level curves
- On asymptotic normality of Hill's estimator for the exponent of regular variation
- On kernel smoothing for extremal quantile regression
- Some Limit Theorems for Random Functions. I
- Some Limit Theorems for Stationary Processes
- Tail estimates motivated by extreme value theory
- Tail index regression
- Threshold selection and trimming in extremes
- Weak convergence and empirical processes. With applications to statistics
- Weak convergence of the tail empirical process for dependent sequences
- Weighted approximations of tail processes for \(\beta\)-mixing random variables.
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