A modeler's guide to extreme value software (Q6144812)

scientific article; zbMATH DE number 7784959

Language	Label	Description	Also known as
English	A modeler's guide to extreme value software	scientific article; zbMATH DE number 7784959

Statements

instance of

scholarly article

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title

A modeler's guide to extreme value software (English)

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arXiv ID

2205.07714

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DOI

10.1007/s10687-023-00475-9

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8 January 2024

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full work available at URL

https://arxiv.org/abs/2205.07714

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Mathematics Subject Classification ID

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extreme values

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software

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threshold selection

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R programming language

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MaRDI profile type

MaRDI publication profile

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Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables

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Hierarchical Space-Time Modeling of Asymptotically Independent Exceedances With an Application to Precipitation Data

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Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate

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A construction principle for multivariate extreme value distributions

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Bias-reduced estimators for bivariate tail modelling

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Excess functions and estimation of the extreme-value index

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Extremal attractors of Liouville copulas

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On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence

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Models for Extremal Dependence Derived from Skew-symmetric Families

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Estimation and uncertainty quantification for extreme quantile regions

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High-dimensional inference using the extremal skew-\(t\) process

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A horse race between the block maxima method and the peak-over-threshold approach

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Q3295394

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Q5272715

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A nonparametric estimation procedure for bivariate extreme value copulas

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Inference for clustered data using the independence loglikelihood

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Generalized Additive Modelling of Sample Extremes

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Q2921617

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An introduction to statistical modeling of extreme values

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Dependence measures for extreme value analyses

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Q4272657

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Using a bootstrap method to choose the sample fraction in tail index estimation

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Extremile Regression

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The extremogram: a correlogram for extreme events

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Towards estimating extremal serial dependence via the bootstrapped extremogram

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Statistical modeling of spatial extremes

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A Euclidean Likelihood Estimator for Bivariate Tail Dependence

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High-dimensional peaks-over-threshold inference

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Extreme residual dependence for random vectors and processes

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A moment estimator for the index of an extreme-value distribution

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Modeling extreme values by the residual coefficient of variation

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A semiparametric Bayesian approach to extreme value estimation

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Exact simulation of max-stable processes

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Conditional simulation of max-stable processes

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Functional regular variations, Pareto processes and peaks over threshold

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Probabilities of Concurrent Extremes

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Exceedances over high thresholds: a guide to threshold selection

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Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles

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Robust and bias-corrected estimation of the coefficient of tail dependence

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Bayesian hierarchical modeling of extreme hourly precipitation in Norway

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A continuous updating weighted least squares estimator of tail dependence in high dimensions

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Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion

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Extremal behaviour of aggregated data with an application to downscaling

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Graphical Models for Extremes

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Laws of Small Numbers: Extremes and Rare Events

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The generalized Pareto process; with a view towards application and simulation

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Inference for Clusters of Extreme Values

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A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation

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Discussion of ``Statistical modeling of spatial extremes'' by A. C. Davison, S. A. Padoan and M. Ribatet

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A software review for extreme value analysis

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Statistics of extremes by oracle estimation

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Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution

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Nonparametric estimation of multivariate extreme-value copulas

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Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems

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Adaptive estimates of parameters of regular variation

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Statistical inference for inter-arrival times of extreme events in bursty time series

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A Conditional Approach for Multivariate Extreme Values (with Discussion)

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A simple general approach to inference about the tail of a distribution

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Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution

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Q3482696

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Parameter and Quantile Estimation for the Generalized Pareto Distribution

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Max‐infinitely divisible models and inference for spatial extremes

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Modeling Spatial Processes with Unknown Extremal Dependence Class

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Maxima of normal random vectors: Between independence and complete dependence

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Estimating the probability of widespread flood events

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Large-sample tests of extreme-value dependence for multivariate copulas

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Nonparametric rank-based tests of bivariate extreme-value dependence

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Statistics for near independence in multivariate extreme values

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Diagnostics for Dependence within Time Series Extremes

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An Explicit Link between Gaussian Fields and Gaussian Markov Random Fields: The Stochastic Partial Differential Equation Approach

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Bayesian uncertainty management in temporal dependence of extremes

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Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials

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Bayesian computing with INLA: new features

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Q5253267

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Exceedance-based nonlinear regression of tail dependence

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Reparameterization of extreme value framework for improved Bayesian workflow

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Asymmetric Least Squares Estimation and Testing

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Extreme value properties of multivariate \(t\) copulas

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Linking representations for multivariate extremes via a limit set

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An efficient semiparametric maxima estimator of the extremal index

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Posterior propriety in Bayesian extreme value analyses using reference priors

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Improved threshold diagnostic plots for extreme value analyses

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Q5272716

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Equivalent representations of max-stable processes via ℓ<sup><i>p</i></sup>-norms

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INLA goes extreme: Bayesian tail regression for the estimation of high spatio-temporal quantiles

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Joint inference on extreme expectiles for multivariate heavy-tailed distributions

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Extended generalised Pareto models for tail estimation

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A hierarchical max-stable spatial model for extreme precipitation

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Q5272717

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Smoothing the Hill Estimator

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Q3771297

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Multivariate peaks over thresholds models

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Multivariate generalized Pareto distributions

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Human life is unlimited -- but short

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Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations

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Bayesian Dirichlet mixture model for multivariate extremes: a re-parametrization

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Bayesian model averaging for multivariate extremes

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Q5429809

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Q2921614

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Models for stationary max-stable random fields

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Penalising model component complexity: a principled, practical approach to constructing priors

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Maximum likelihood estimation in a class of nonregular cases

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Markov chain models for threshold exceedances

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Q4298923

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Simulating multivariate extreme value distributions of logistic type

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Q5272725

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Software for the analysis of extreme events: The current state and future directions

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Exploiting occurrence times in likelihood inference for componentwise maxima

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Likelihood estimation of the extremal index

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Model misspecification in peaks over threshold analysis

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A general approach to generate random variates for multivariate copulae

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Bayesian inference for the Brown-Resnick process, with an application to extreme low temperatures

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Efficient inference and simulation for elliptical Pareto processes

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Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC

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Extreme value theory for anomaly detection -- the GPD classifier

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On the occurrence times of componentwise maxima and bias in likelihood inference for multivariate max-stable distributions

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A new representation for multivariate tail probabilities

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Subsampling extremes: from block maxima to smooth tail estimation

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Estimation of Parameters and Larger Quantiles Based on the k Largest Observations

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Q5268958

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Vector generalized linear and additive extreme value models

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Mathematics(1 entry)

mardi Publication:6144812