| Publication | Date of Publication | Type |
|---|
Central limit theory for peaks-over-threshold partial sums of long memory linear time series
Stochastic Processes and their Applications | 2026-04-20 | Paper |
Abdelaati daouia and gilles Stupfler's contribution to the discussion of the `Discussion meeting on the analysis of citizen science data'
Journal of the Royal Statistical Society. Series A. Statistics in Society | 2026-02-12 | Paper |
Corrected inference about the extreme expected shortfall in the general max-domain of attraction
Information and Inference | 2025-10-30 | Paper |
Describing financial crisis propagation through epidemic modelling on multiplex networks
Proceedings of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences | 2025-10-07 | Paper |
Simple sufficient criteria for second-order extended regular variation in the Gumbel domain of attraction: the case of Weibull-tailed distributions
Extremes | 2025-06-16 | Paper |
Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles
Statistics and Computing | 2024-07-31 | Paper |
An expectile computation cookbook
Statistics and Computing | 2024-05-31 | Paper |
Optimal weighted pooling for inference about the tail index and extreme quantiles
Bernoulli | 2024-03-26 | Paper |
Optimal weighted pooling for inference about the tail index and extreme quantiles
Bernoulli | 2024-03-26 | Paper |
Tail risk inference via expectiles in heavy-tailed time series
Journal of Business and Economic Statistics | 2024-03-06 | Paper |
Inference for extremal regression with dependent heavy-tailed data
The Annals of Statistics | 2024-01-04 | Paper |
Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles
The Canadian Journal of Statistics | 2023-11-02 | Paper |
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Insurance Mathematics & Economics | 2023-07-18 | Paper |
Extremile Regression
Journal of the American Statistical Association | 2023-03-09 | Paper |
Extreme $$L^p$$-quantile Kernel Regression
Advances in Contemporary Statistics and Econometrics | 2023-01-24 | Paper |
Nonparametric extreme conditional expectile estimation
Scandinavian Journal of Statistics | 2023-01-05 | Paper |
| Extreme expectile estimation for short-tailed data, with an application to market risk assessment | 2022-10-05 | Paper |
On automatic bias reduction for extreme expectile estimation
Statistics and Computing | 2022-09-15 | Paper |
Joint inference on extreme expectiles for multivariate heavy-tailed distributions
Bernoulli | 2022-05-16 | Paper |
Joint inference on extreme expectiles for multivariate heavy-tailed distributions
Bernoulli | 2022-05-16 | Paper |
Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
The Annals of Statistics | 2022-02-07 | Paper |
Estimating an endpoint with high order moments in the Weibull domain of attraction
Statistics & Probability Letters | 2021-09-29 | Paper |
The min-characteristic function: characterizing distributions by their min-linear projections
Sankhyā. Series A | 2021-05-03 | Paper |
ExpectHill estimation, extreme risk and heavy tails
Journal of Econometrics | 2021-02-04 | Paper |
Beyond tail median and conditional tail expectation: extreme risk estimation using tail \(L^p\)-optimization
Scandinavian Journal of Statistics | 2020-11-30 | Paper |
On a class of norms generated by nonnegative integrable distributions
Dependence Modeling | 2020-05-12 | Paper |
Tail risk inference via expectiles in heavy-tailed time series
Journal of Business and Economic Statistics | 2020-04-08 | Paper |
On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
Extremes | 2019-12-27 | Paper |
| An integrated functional Weissman estimator for conditional extreme quantiles | 2019-12-12 | Paper |
Tail expectile process and risk assessment
Bernoulli | 2019-12-05 | Paper |
Extremiles: A New Perspective on Asymmetric Least Squares
Journal of the American Statistical Association | 2019-11-12 | Paper |
On the study of extremes with dependent random right-censoring
Extremes | 2019-05-31 | Paper |
Estimating the parameters of a seasonal Markov-modulated Poisson process
Statistical Methodology | 2019-03-13 | Paper |
Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
Bernoulli | 2019-01-28 | Paper |
Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling
ASTIN Bulletin | 2018-06-05 | Paper |
Estimation of Tail Risk Based on Extreme Expectiles
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2018-03-13 | Paper |
| Intriguing properties of extreme geometric quantiles | 2017-09-18 | Paper |
Extreme versions of Wang risk measures and their estimation for heavy-tailed distributions
STATISTICA SINICA | 2017-04-18 | Paper |
An offspring of multivariate extreme value theory: the -characteristic function
Journal of Multivariate Analysis | 2016-12-28 | Paper |
On the weak convergence of the kernel density estimator in the uniform topology
Electronic Communications in Probability | 2016-05-23 | Paper |
Estimating the conditional extreme-value index under random right-censoring
Journal of Multivariate Analysis | 2015-12-23 | Paper |
Extreme geometric quantiles in a multivariate regular variation framework
Extremes | 2015-12-08 | Paper |
Uniform asymptotic properties of a nonparametric regression estimator of conditional tails
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2015-10-05 | Paper |
Estimating extreme quantiles under random truncation
Test | 2015-06-26 | Paper |
Erratum to: ``Estimating extreme quantiles under random truncation''
Test | 2015-06-26 | Paper |
Uniform strong consistency of a frontier estimator using kernel regression on high order moments
ESAIM: Probability and Statistics | 2015-02-17 | Paper |
Estimation of the parameters of a Markov-modulated loss process in insurance
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Estimation of the conditional tail index using a smoothed local Hill estimator
Extremes | 2014-12-17 | Paper |
On the weak convergence of kernel density estimators in \(L^{p}\) spaces
Journal of Nonparametric Statistics | 2014-12-12 | Paper |
Frontier estimation with kernel regression on high order moments
Journal of Multivariate Analysis | 2014-01-10 | Paper |
A moment estimator for the conditional extreme-value index
Electronic Journal of Statistics | 2013-09-26 | Paper |
Estimating an endpoint with high-order moments
Test | 2013-04-10 | Paper |
