Estimating exceedance probabilities in higher-dimensional space

DOI10.1080/15326349408807321MaRDI QIDQ4314753zbMATH OpenOpenAlexFDO

Authors Laurens De Haan

Publication date 18 December 1994

Published in Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349408807321

zbMATH Keywords

asymptotic confidence intervalestimation of the exceedance probabilityextreme value theory

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

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Cited in

(9)

• Estimation of bivariate excess probabilities for elliptical models
• Influence of weak trends on exceedance probability
• On high level exceedance modeling and tail inference
• Large quantile estimation in a multivariate setting
• Estimation of the coefficient of tail dependence in bivariate extremes
• Estimating the probability of a rare event
• A note on the analytic approximation of exceedance probabilities in heterogeneous populations
• Estimating failure probabilities
• OWA Aggregation of Probability Distributions Using the Probabilistic Exceedance Method

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