Models with hidden regular variation: generation and detection
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Cites work
- scientific article; zbMATH DE number 1301871 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 5242364 (Why is no real title available?)
- scientific article; zbMATH DE number 3238248 (Why is no real title available?)
- A sum characterization of hidden regular variation with likelihood inference via expectation-maximization
- Characterizations and examples of hidden regular variation
- Conditioning on an extreme component: model consistency with regular variation on cones
- Detecting a conditional extreme value model
- Directed scale-free graphs
- EXTREMAL DEPENDENCE: INTERNET TRAFFIC APPLICATIONS
- Empirical Testing Of The Infinite Source Poisson Data Traffic Model
- Extreme value theory. An introduction.
- Four theorems and a financial crisis
- Heavy-Tail Phenomena
- Hidden regular variation, second order regular variation and asymptotic independence
- How to make a Hill plot.
- Limit laws for random vectors with an extreme component
- Living on the multidimensional edge: Seeking hidden risks using regular variation
- Nonstandard regular variation of in-degree and out-degree in the preferential attachment model
- Point processes, regular variation and weak convergence
- Regular variation for measures on metric spaces
- Regularly varying functions
- Regularly varying measures on metric spaces: hidden regular variation and hidden jumps
- Smoothing the Hill Estimator
- Statistical inference using extreme order statistics
- Tauberian theory for multivariate regularly varying distributions with application to preferential attachment networks
Cited in
(13)- Conditional excess risk measures and multivariate regular variation
- Asymptotic dependence of in- and out-degrees in a preferential attachment model with reciprocity
- Random networks with heterogeneous reciprocity
- Risk contagion under regular variation and asymptotic tail independence
- Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’
- Asymptotic independence and support detection techniques for heavy-tailed multivariate data
- Hidden regular variation and detection of hidden risks
- Hidden regular variation and the rank transform
- Maximum likelihood estimation of elliptical tail
- Emergence of multivariate extremes in multilayer inhomogeneous random graphs
- Implicit extremes and implicit max-stable laws
- Hidden regular variation under full and strong asymptotic dependence
- Tail probabilities of random linear functions of regularly varying random vectors
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