Extremal theory for stochastic processes
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- Stationary self-similar extremal processes
- Extremes of regularly varying Lévy-driven mixed moving average processes
- Extreme value theory for stochastic processes
- Nonlinear Cointegration and Nonlinear Error Correction: Record Counting Cointegration Tests
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- On blocks and runs estimators of the extremal index
- Regeneration-based statistics for Harris recurrent Markov chains
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- A test for additive outliers applicable to long-memory time series
- On the continuation of the limit distributions of the extreme and central terms of a sample
- Semicontinuous processes in multi-dimensional extreme value theory
- Using extreme value theory to evaluate the leading Pedestrian interval road safety intervention
- Extreme value theory for stochastic integrals of Legendre polynomials
- Most probable distributions and distributions of extremes for particle systems with hierarchical structures
- A characterization of Gumbel's family of extreme value distributions
- On the extremal theory of continued fractions
- Modeling multivariate extreme events using self-exciting point processes
- scientific article; zbMATH DE number 3980152 (Why is no real title available?)
- A functional limit theorem for dependent sequences with infinite variance stable limits
- Weakly nonlinear statistics of high random waves
- The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
- A sliding blocks estimator for the extremal index
- scientific article; zbMATH DE number 107615 (Why is no real title available?)
- On the excursion random measure of stationary processes
- Regular variation of a random length sequence of random variables and application to risk assessment
- Regularly varying multivariate time series
- A Detrended Range Unit Root (DRUR) Test
- Stochastic continuum approach to high-cycle fatigue: modelling stress history as a stochastic process
- Strong memoryless times and rare events in Markov renewal point processes.
- scientific article; zbMATH DE number 3881588 (Why is no real title available?)
- Practical extreme value modelling of hydrological floods and droughts: a case study
- Heavy-tailed branching process with immigration
- Rates of convergence in certain limit theorem for extreme values
- Convergence to Lévy stable processes under some weak dependence conditions
- Modeling extreme events: sample fraction adaptive choice in parameter estimation
- Inference on factor structures in heterogeneous panels
- Estimating changepoints in extremal dependence, applied to aviation stock prices during COVID-19 pandemic
- On extremal theory for stationary processes
- Joint functional convergence of partial sums and maxima for moving averages with weakly dependent heavy-tailed innovations and random coefficients
- Method of moments estimators for the extremal index of a stationary time series
- Limit theorems for mixed max-sum processes with renewal stopping
- Regular variation of GARCH processes.
- Bayesian inference for clustered extremes
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- On the general law of iterated logarithm with application to selfsimilar processes and to Gaussian processes in \(\mathbb{R}{}^ n\) and Hilbert space
- Unbounded probability theory and multistep relaxation processes
- Records Properties of Non Stationary Time Series
- scientific article; zbMATH DE number 1904849 (Why is no real title available?)
- Principal minors of Gaussian orthogonal ensemble
- The combinatorics and extreme value statistics of protein threading
- scientific article; zbMATH DE number 4086669 (Why is no real title available?)
- On limiting cluster size distributions for processes of exceedances for stationary sequences
- Divergent perpetuities modulated by regime switches
- Estimating parameters of an extreme value distribution by the method of moments
- Persistent regimes and extreme events of the North Atlantic atmospheric circulation
- Precise large deviations for dependent regularly varying sequences
- Large excursions and conditioned laws for recursive sequences generated by random matrices
- The extremal index, hitting time statistics and periodicity
- On the Asymptotic Distribution of the Least-Squares Estimators in Unidentifiable Models
- An interview with Ross Leadbetter
- scientific article; zbMATH DE number 4096647 (Why is no real title available?)
- Stable limits for sums of dependent infinite variance random variables
- Extreme values statistics for Markov chains via the (pseudo-) regenerative method
- Relative extremal index of two stationary processes
- Stochastic programming with random processes
- Spectral conditions for sojourn and extreme value limit theorems for Gaussian processes
- The sample ACF of a simple bilinear process
- The duration of historical pandemics
- A conditional limit law result on the location of the maximum of Brownian motion
- Extremal Properties of Solutions of Stochastic Equations
- Measures of serial extremal dependence and their estimation
- scientific article; zbMATH DE number 1995743 (Why is no real title available?)
- Weak convergence of a pseudo maximum likelihood estimator for the extremal index
- Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
- On some estimates based on sample behavior near high level excursions
- Extreme value statistics for deterministic dynamical systems
- Extremes and crossings for differentiable stationary processes with application to Gaussian processes in \(\mathbb{R}{}^ m\) and Hilbert space
- A strong ergodic theorem for extreme and intermediate order statistics
- Compound Poisson approximation for Markov chains using Stein's method
- Limit theorems for extremes of strongly dependent cyclo-stationary \(\chi \)-processes
- The convex hull of a dependent vector-valued process
- A note on the Berman condition
- Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval
- Extremal processes with one jump
- Clustering of Markov chain exceedances
- New robust inference for predictive regressions
- A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations
- A cluster-limit theorem for infinitely divisible point processes
- Extreme value distributions in chaotic dynamics.
- A functional limit theorem for moving averages with weakly dependent heavy-tailed innovations
- Extremes and regular variation
- No-tie conditions for large values of extremal processes
- A complete convergence theorem for stationary regularly varying multivariate time series
- On the measurement and treatment of extremes in time series
- Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing
- Bootstrap and other resampling methodologies in statistics of extremes
- Autoregressive conditional dynamic semivariance models with value-at-risk estimates
- Extreme value theory and Poisson statistics for discrete time samplings of stochastic differential equations
- Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines*
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