On high level exceedance modeling and tail inference

DOI10.1016/0378-3758(94)00075-1MaRDI QIDQ1890883zbMATH OpenOpenAlexFDO

Authors M. Ross Leadbetter

Publication date 15 August 1995

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(94)00075-1

zbMATH Keywords

central limit theoryexceedance modelingextreme valuestail estimation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Nonparametric estimation (62G05)

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Cites work

• A Comparison Method for Distribution Functions of Sums of Independent and Dependent Random Variables
• Convergence of sums of mixing triangular arrays of random vectors with stationary rows
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• Limit theorems for strongly mixing stationary random measures
• On a basis for peaks over threshold modeling
• On tail index estimation using dependent data
• On the exceedance point process for a stationary sequence
• Statistical inference using extreme order statistics
• The central limit problem for mixing sequences of random variables

Cited in

(10)

• Some aspects of extreme value statistics under serial dependence
• On the number of near-maximum insurance claim under dependence.
• A distribution estimation method based on level crossings
• Modeling threshold exceedance probabilities of spatially correlated time series
• Estimation of extreme values by the average conditional exceedance rate method
• Exceedance-based nonlinear regression of tail dependence
• Inference for Clusters of Extreme Values
• Modeling of claim exceedances over random thresholds for related insurance portfolios
• Limit theorems for empirical processes of cluster functionals
• On the asymptotic distribution of certain bivariate reinsurance treaties

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