Statistical inference using extreme order statistics

DOI10.1214/aos/1176343003zbMath0312.62038OpenAlexW2036983007WikidataQ57255290 ScholiaQ57255290MaRDI QIDQ1219651

James III Pickands

Publication date: 1975

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176343003

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Probability distributions: general theory (60E05)

Related Items

Multivariate extremes and max-stable processes: discussion of the paper by Zhengjun Zhang ⋮ Assessment of dependent risk using extreme value theory in a time-varying framework ⋮ Heavy-Tailed Density Estimation ⋮ Bayesian Estimation for Deformed Modified Power Series Distribution ⋮ Exponentiated Pareto distributions ⋮ Unnamed Item ⋮ A family of nonparametric unit root tests for processes driven by infinite variance innovations ⋮ Capturing information in extreme events ⋮ Cramér-von-Mises tests for the distribution of the excess over a confidence level ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ Multivariate Hill Estimators ⋮ On dealing with the unknown population minimum in parametric inference ⋮ Expected discounted penalty function and asymptotic dependence of the severity of ruin and surplus prior to ruin for two-sided Lévy risk processes ⋮ Asymptotic predictive inference of negative lower tail index distributions ⋮ A new definition of hitting time and an embedded Markov chain in continuous-time quantum walks ⋮ A marginal modelling approach for predicting wildfire extremes across the contiguous United States ⋮ An algorithm of nonparametric quantile regression ⋮ Inference of high quantiles of a heavy-tailed distribution from block data ⋮ THEORETICAL SENSITIVITY ANALYSIS FOR QUANTITATIVE OPERATIONAL RISK MANAGEMENT ⋮ A dynamic spatial filtering approach to mitigate underestimation bias in field calibrated low-cost sensor air pollution data ⋮ Bayesian hierarchical modeling of extreme hourly precipitation in Norway ⋮ EXTREME VALUE DISTRIBUTIONS FOR BIASED SAMPLES ⋮ Gradient boosting for extreme quantile regression ⋮ Mezcla de Gompertz para modelar la evolución de la dinámica del COVID-19 ⋮ Bootstrapping Extreme Value Estimators ⋮ Tail inference using extreme U-statistics ⋮ Simulating flood event sets using extremal principal components ⋮ Global-scale statistical modelling of the radiative power released by vegetation fires using a doubly truncated lognormal body distribution with generalized Pareto tails ⋮ Upper record values from the generalized Pareto distribution and associated statistical inference ⋮ Tail index partition-based rules extraction with application to tornado damage insurance ⋮ A refined Weissman estimator for extreme quantiles ⋮ On uniform inference in nonlinear models with endogeneity ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Extreme Value Analysis of Mortality at the Oldest Ages: A Case Study Based on Individual Ages at Death ⋮ Estimating value-at-risk: a point process approach ⋮ A Bayesian semi-parametric mixture model for bivariate extreme value analysis with application to precipitation forecasting ⋮ Statistics of Visual Responses to Image Object Stimuli from Primate AIT Neurons to DNN Neurons ⋮ Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database ⋮ “Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database,” Ana C. Cebrián, Michel Denuit, and Philippe Lambert, July 2003 ⋮ Bias and size corrections in extreme value modeling ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Intensity‐based estimation of extreme loss event probability and value at risk ⋮ Statistical advances in environmental science ⋮ Some unified characterization results on generalized Pareto distributions ⋮ Using a bootstrap method to choose the sample fraction in tail index estimation ⋮ Extreme value index estimator using maximum likelihood and moment estimation ⋮ Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation ⋮ Extreme value analysis within a parametric outlier detection framework ⋮ Linear Estimators and Predictors Based on Generalized Order Statistics from Generalized Pareto Distributions ⋮ A default Bayesian approach for regression on extremes ⋮ A new weighted quantile regression ⋮ Two-stage data mining for flaw identification in ceramics manufacture ⋮ Ordered random variables ⋮ Effects of stochastic parametrization on extreme value statistics ⋮ Parameter Estimation of Stable Distributions ⋮ IPO estimation of heaviness of the distribution beyond regularly varying tails ⋮ Inference Based on Order Statistics from the Generalized Pareto Distribution and Application ⋮ ADDITIONAL EXTREME DISTRIBUTION FOR MODELING EXTREME VALUE DATA ⋮ Measures of ageing tendency ⋮ Statistical Inference for the Generalized Pareto Distribution: Maximum Likelihood Revisited ⋮ Backtesting extreme value theory models of expected shortfall ⋮ Premium Calculation for Fat-tailed Risk ⋮ A prediction‐residual approach for identifying rare events in periodic time series ⋮ Analysis of accumulated rounding errors in autoregressive processes ⋮ Unnamed Item ⋮ Probabilistic reanalysis of storm surge extremes in Europe ⋮ Where does the tail begin? An approach based on scoring rules ⋮ Regression models to dependence for exceedance ⋮ Methods to Distinguish Between Polynomial and Exponential Tails ⋮ High-Order Conditional Quantile Estimation Based on Nonparametric Models of Regression ⋮ Assessing the performance of confidence intervals for high quantiles of Burr XII and Inverse Burr mixtures ⋮ Bootstrap Method for Order Statistics and Modeling Study of the Air Pollution ⋮ Robust estimation of Pareto-type tail index through an exponential regression model ⋮ Estimation of the Pareto and related distributions – A reference-intrinsic approach ⋮ A class of location invariant estimators for heavy tailed distributions ⋮ Improved inference for the generalized Pareto distribution under linear, power and exponential normalization ⋮ Rare event probability estimation in the presence of epistemic uncertainty on input probability distribution parameters ⋮ Assessing failure probability of coastal structures based on probabilistic representation of sea conditions at the structures' location ⋮ A goodness-of-fit test for heavy tailed distributions with unknown parameters and its application to simulated precipitation extremes in the Euro-Mediterranean region ⋮ Efficient likelihood-based inference for the generalized Pareto distribution ⋮ Threshold selection in univariate extreme value analysis ⋮ Time-varying extreme pattern with dynamic models ⋮ Robust and bias-corrected estimation of the probability of extreme failure sets ⋮ Modelling the financial risk associated with U.S. Movie box office earnings ⋮ Testing the assumptions behind importance sampling ⋮ The flood probability distribution tail: How heavy is it? ⋮ Bayesian approaches for analyzing earthquake catastrophic risk ⋮ Latent process modelling of threshold exceedances in hourly rainfall series ⋮ Estimation of the extreme-value index and generalized quantile plots ⋮ On the estimation of a changepoint in a tail index ⋮ An application of extreme value theory for measuring financial risk ⋮ Free extreme values ⋮ A default Bayesian procedure for the generalized Pareto distribution ⋮ Approximation of high quantiles from intermediate quantiles ⋮ Approximation and estimation of very small probabilities of multivariate extreme events ⋮ Moment-based tail index estimation ⋮ A moment estimator for the conditional extreme-value index ⋮ Extremal memory of stochastic volatility with an application to tail shape inference ⋮ Semi-parametric tail inference through probability-weighted moments ⋮ Software for the analysis of extreme events: The current state and future directions ⋮ On an improvement of Hill and some other estimators ⋮ Multivariate generalized Pareto distributions ⋮ On max-stable processes and the functional \(D\)-norm ⋮ POT-based estimation of the renewal function of interoccurrence times of heavy-tailed risks ⋮ Estimating a bivariate tail: a copula based approach ⋮ Several modifications of DPR estimator of the tail index ⋮ Asymptotic properties of generalized DPR statistic ⋮ Weak convergence of the empirical mean excess process with application to estimate the negative tail index ⋮ Estimation of spatial max-stable models using threshold exceedances ⋮ Testing for a multivariate generalized Pareto distribution ⋮ A hybrid Pareto model for asymmetric fat-tailed data: the univariate case ⋮ Mixed moment estimator and location invariant alternatives ⋮ Tail index estimation with a fixed tuning parameter fraction ⋮ Frontier estimation and extreme value theory ⋮ A multivariate piecing-together approach with an application to operational loss data ⋮ Progressively type-II censored competing risks data from Lomax distributions ⋮ Accounting for uncertainty in extremal dependence modeling using Bayesian model averaging techniques ⋮ Universal behaviour of extreme value statistics for selected observables of dynamical systems ⋮ Tail index estimation in the presence of long-memory dynamics ⋮ On the tail index of a heavy tailed distribution ⋮ Computing the moments of order statistics from nonidentically distributed phase-type random variables ⋮ On the tail dependence in bivariate hydrological frequency analysis ⋮ A generalized beta copula with applications in modeling multivariate long-tailed data ⋮ Location invariant Weiss-Hill estimator ⋮ A software review for extreme value analysis ⋮ Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data ⋮ Conditioning on an extreme component: model consistency with regular variation on cones ⋮ Tsallis distribution as a standard maximum entropy solution with `tail' constraint ⋮ The multivariate piecing-together approach revisited ⋮ Fiducial inference under nonparametric situations ⋮ Asymptotically unbiased estimators for the extreme-value index ⋮ Correlations between record events in sequences of random variables with a linear trend ⋮ Extremal dependence analysis of network sessions ⋮ Detecting a conditional extreme value model ⋮ On optimal portfolio diversification with respect to extreme risks ⋮ The generalized Pareto process; with a view towards application and simulation ⋮ Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models ⋮ Vector generalized linear and additive extreme value models ⋮ Numerical convergence of the block-maxima approach to the generalized extreme value distribution ⋮ Longevity bond premiums: the extreme value approach and risk cubic pricing ⋮ On a multivariate Pareto distribution ⋮ Estimating generalized state density of near-extreme events and its applications in analyzing stock data ⋮ Normex, a new method for evaluating the distribution of aggregated heavy tailed risks ⋮ A note on domains of attraction of the limit laws of intermediate order statistics under power normalization ⋮ A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes ⋮ On the max-domain of attraction of distributions with log-concave densities ⋮ Regression with response distributions of Pareto-type ⋮ A class of new tail index estimators ⋮ Extreme-value analysis of teletraffic data ⋮ A statistical test procedure for the shape parameter of a generalized Pareto distribution ⋮ Data driven estimates for mixtures ⋮ Reiss and Thomas' automatic selection of the number of extremes ⋮ A conditional extreme value volatility estimator based on high-frequency returns ⋮ Jump tails, extreme dependencies, and the distribution of stock returns ⋮ A bootstrap goodness of fit test for the generalized Pareto distribution ⋮ Improving extreme quantile estimation via a folding procedure ⋮ Empirical likelihood based confidence regions for first order parameters of heavy-tailed distribu\-tions ⋮ Zero-inflated truncated generalized Pareto distribution for the analysis of radio audience data ⋮ Model misspecification in peaks over threshold analysis ⋮ The beta generalized Pareto distribution with application to lifetime data ⋮ Generalized Pickands estimators for the extreme value index ⋮ Downscaling extremes: a comparison of extreme value distributions in point-source and gridded precipitation data ⋮ Improved threshold diagnostic plots for extreme value analyses ⋮ Quasi-stationary distributions and Yaglom limits of self-similar Markov processes ⋮ Fitting phase-type scale mixtures to heavy-tailed data and distributions ⋮ Testing Exponentiality Versus Pareto Distribution via Likelihood Ratio ⋮ An R Package for Value at Risk and Expected Shortfall ⋮ Generalized fiducial confidence intervals for extremes ⋮ Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate ⋮ A semiparametric Bayesian approach to extreme value estimation ⋮ Estimating the parameters of rare events ⋮ Regression estimator for the tail index ⋮ Generalized Gumbel and likelihood ratio test statistics in the multivariate GEV model ⋮ Smooth nonparametric estimation of the quantile function ⋮ Iterative estimation of the extreme value index ⋮ Threshold selection for extremes under a semiparametric model ⋮ On some estimates based on sample behavior near high level excursions ⋮ Expectiles, omega ratios and stochastic ordering ⋮ On the statistical properties and tail risk of violent conflicts ⋮ Extreme quantile estimation in \(\delta\)-neighborhoods of generalized Pareto distributions ⋮ Bayesian analysis of tail asymmetry based on a threshold extreme value model ⋮ A bivariate distribution with Lomax and geometric margins ⋮ Rates of uniform convergence of extreme order statistics ⋮ Strong convergence of multivariate point processes of exceedances ⋮ A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators ⋮ Likelihood inference for generalized Pareto distribution ⋮ A semiparametric Bayesian approach for joint-quantile regression with clustered data ⋮ Bayesian threshold selection for extremal models using measures of surprise ⋮ When are intermediate processes of the same stochastic order? ⋮ A peak-over-threshold search method for global optimization ⋮ A parametric solution for simple stress-strength model of failure with an application ⋮ Approximation to the expectation of a function of order statistics and its applications ⋮ An extreme value analysis of the last century crises across industries in the U.S. economy ⋮ Almost sure convergence of the stable tail empirical dependence function in multivariate extreme statistics ⋮ Bayesian estimation of the tail index of a heavy tailed distribution under random censoring ⋮ Estimating extreme tail risk measures with generalized Pareto distribution ⋮ A Bayesian hierarchical model for spatial extremes with multiple durations ⋮ Parameter estimation for 2-parameter generalized Pareto distribution by POME ⋮ The joint distribution of the sum and maximum of dependent Pareto risks ⋮ On the asymptotic locations of the largest and smallest extremes of a stationary sequence ⋮ A note on generalized Pareto distributions and the k upper extremes ⋮ A general class of estimators of the extreme value index ⋮ Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework ⋮ Estimating extreme probabilities using tail simulated data ⋮ Convergence of extreme value statistics in a two-layer quasi-geostrophic atmospheric model ⋮ A Poisson process reparameterisation for Bayesian inference for extremes ⋮ Tail uncertainty analysis in complex systems ⋮ Best attainable rates of convergence for estimators of the stable tail dependence function ⋮ Bootstrap confidence intervals for tail indices. ⋮ On a bivariate copula with both upper and lower full-range tail dependence ⋮ High quantile regression for extreme events ⋮ From concentration profiles to concentration maps. New tools for the study of loss distributions ⋮ Semi-parametric regression estimation of the tail index ⋮ Double-thresholded estimator of extreme value index ⋮ A Bayesian approach to extended models for exceedance ⋮ Bias-corrected estimators for monotone and concave frontier functions. ⋮ Some cubic rank transmuted distributions ⋮ Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors ⋮ Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization ⋮ A note on the asymptotic normality of the ET method for extreme quantile estimation. ⋮ Bayesian approach to parameter estimation of the generalized Pareto distribution ⋮ An estimator of heavy tail index through the generalized jackknife methodology ⋮ Local polynomial maximum likelihood estimation for Pareto-type distributions. ⋮ Kernel-type estimators for the extreme value index ⋮ Extreme quantiles and tail index of a distribution based on kernel estimator ⋮ Multiple-event catastrophe bond pricing based on CIR-copula-POT model ⋮ Shape measures based on the convex transform order ⋮ Diagnostic check for heavy tail in linear time series ⋮ Comprehensive evaluation of regional flood frequency analysis by L- and LH-moments. II: Development of LH-moments parameters for the generalized Pareto and generalized logistic distributions ⋮ On a basis for peaks over threshold modeling ⋮ Modeling maxima with autoregressive conditional Fréchet model ⋮ Assessing conditional extremal risk of flooding in Puerto Rico ⋮ Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations ⋮ Multivariate peaks over thresholds models ⋮ An improved method for forecasting spare parts demand using extreme value theory ⋮ Modeling large claims in non-life insurance ⋮ Kernel estimators of extreme level curves ⋮ Approximation of the distribution of excesses using a generalized probability weighted moment method ⋮ Estimation of heavy-tailed probability density function with applications to Web data ⋮ Parameter estimation for fractional Poisson processes ⋮ Modeling rare events through a \(p\)RARMAX process ⋮ An application of extreme value theory to cryptocurrencies ⋮ Tail exponent estimation via broadband log density-quantile regression ⋮ Extreme behavior of bivariate elliptical distributions ⋮ Extreme value modeling under power normalization ⋮ Is human life limited or unlimited? (A discussion of the paper by Holger Rootzén and Dmitrii Zholud) ⋮ Comments on ``Human life is unlimited -- but short by H. Rootzén and D. Zholud ⋮ A regional Bayesian POT model for flood frequency analysis ⋮ Existence and consistency of the maximum likelihood estimator for the extreme value index ⋮ Statistics of extremes under random censoring ⋮ Estimation of the extreme value index and extreme quantiles under random censoring ⋮ Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions ⋮ Bootstrap and empirical likelihood methods in extremes ⋮ A two-step estimator of the extreme value index ⋮ Estimation of the generalized Pareto distribution ⋮ Fitting the generalized Pareto distribution to data using maximum goodness-of-fit estimators ⋮ Extremal financial risk models and portfolio evaluation ⋮ Does bias reduction with external estimator of second order parameter work for endpoint? ⋮ From extended regular variation to regular variation with application in extreme value statis\-tics ⋮ Asymptotic expansions for the distribution functions of Pickands-type estimators ⋮ Second-order refined peaks-over-threshold modelling for heavy-tailed distributions ⋮ An extension of three-parameter Burr III distribution for low-flow frequency analysis ⋮ Nonparametric tail estimation using a double bootstrap method. ⋮ Higher order estimation at Lebesgue points ⋮ On the impossibility of estimating densities in the extreme tail ⋮ The estimation of M4 processes with geometric moving patterns ⋮ The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting ⋮ An estimator of the tail index based on increment ratio statistics ⋮ Relations for expectations of functions of generalized order statistics ⋮ The extremal index of a higher-order stationary Markov chain ⋮ On a generalized Pickands estimator of the extreme value index ⋮ Comparison between two indicators for the variation regularity of tails of distributions ⋮ Stable modeling of value at risk ⋮ On the use of the peaks over thresholds method for estimating out-of-sample quantiles. ⋮ Semiparametric statistical inference in global random search ⋮ An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators. ⋮ Weighted approximations of tail processes for \(\beta\)-mixing random variables. ⋮ A new look at probability-weighted moments estimators ⋮ On maximum likelihood estimation of the extreme value index. ⋮ Estimation problems for distributions with heavy tails ⋮ Extreme quantiles estimation for actuarial applications ⋮ Bayesian hierarchical modeling: application towards production results in the Eagle Ford Shale of South Texas ⋮ Penalized quasi-likelihood estimation of generalized Pareto regression -- consistent identification of risk factors for extreme losses ⋮ A new class of copula regression models for modelling multivariate heavy-tailed data ⋮ Estimation of the tail parameter in the domain of attraction of an extremal distribution ⋮ Approximation rates for multivariate exceedances ⋮ On high level exceedance modeling and tail inference ⋮ Application of the Bayesian approach in regional analysis of extreme rainfalls ⋮ A theoretical minimal solution for heuristics: the case of the spatial harvest timber problem ⋮ On generalized reversed aging intensity functions ⋮ Weighted least squares estimators for the Parzen tail index ⋮ Use of the geometric mean as a statistic for the scale of the coupled Gaussian distributions ⋮ LAN of extreme order statistics ⋮ Estimation and inference about tail features with tail censored data ⋮ Cyber risk frequency, severity and insurance viability ⋮ Asymptotic analysis of portfolio diversification ⋮ Sign regularity of a generalized Cauchy kernel with applications ⋮ Asymptotically efficient estimation of the index of regular variation ⋮ Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory ⋮ The generalized extreme value distribution ⋮ Yet another breakdown point notion: EFSBP. Illustrated at scale-shape models ⋮ Dynamic tail inference with log-Laplace volatility ⋮ Asymptotic behavior of the extrapolation error associated with the estimation of extreme quantiles ⋮ On the maximum likelihood estimation of extreme value index based on \(k\)-record values ⋮ The distribution of fitness effects among beneficial mutations in Fisher's geometric model of adaptation ⋮ Estimating asymptotic dependence functionals in multivariate regularly varying models ⋮ Modelling dependency effect to extreme value distributions with application to extreme wind speed at Port Elizabeth, South Africa: a frequentist and Bayesian approaches ⋮ Functional kernel estimators of large conditional quantiles ⋮ Testing for a generalized Pareto process ⋮ Estimation of extreme values by the average conditional exceedance rate method ⋮ Invited article by M. Gidea: Extreme events and emergency scales ⋮ The study of chaotic dynamics by means of very short time series ⋮ Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets ⋮ A class of Pickands-type estimators for the extreme value index ⋮ Estimating a tail exponent by modelling departure from a Pareto distribution ⋮ An adaptive optimal estimate of the tail index for MA(1) time series ⋮ GFC-robust risk management under the Basel accord using extreme value methodologies ⋮ Forecasting value-at-risk with a duration-based POT method ⋮ Practical issues with modeling extreme Brazilian rainfall ⋮ A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets ⋮ Approximation of the equilibrium distribution via extreme value theory: an application to insurance risk ⋮ Improved inference for the generalized Pareto distribution ⋮ Order statistics and region-based evolutionary computation ⋮ Extreme value modeling for environmental data analysis ⋮ A comparative study of the adaptive choice of thresholds in extreme hydrologic events ⋮ Data-adaptive trimming of the Hill estimator and detection of outliers in the extremes of heavy-tailed data ⋮ Inference for one-step beneficial mutations using next generation sequencing ⋮ Spatial hierarchical modeling of precipitation extremes from a regional climate model ⋮ On limit distributions for intermediate order statistics under power normalization ⋮ The extent of the maximum likelihood estimator for the extreme value index ⋮ Detecting finiteness in the right endpoint of light-tailed distributions ⋮ Towards a general theory of extremes for observables of chaotic dynamical systems ⋮ Parameter estimation of the generalized Pareto distribution. I ⋮ Parameter estimation of the generalized Pareto distribution. II ⋮ A matching prior for extreme quantile estimation of the generalized Pareto distribution ⋮ Asymptotic expansions for the location invariant moment-type estimator ⋮ Semi-parametric modeling of excesses above high multivariate thresholds with censored data ⋮ On spatial extremes: with application to a rainfall problem ⋮ Optimal XL-insurance under Wasserstein-type ambiguity ⋮ Local robust estimation of Pareto-type tails with random right censoring ⋮ A spatio-temporal model for Red Sea surface temperature anomalies ⋮ Spatio-temporal prediction of missing temperature with stochastic Poisson equations. The LC2019 team winning entry for the EVA 2019 data competition ⋮ Assessing the risk of disruption of wind turbine operations in Saudi Arabia using Bayesian spatial extremes ⋮ Cyber claim analysis using generalized Pareto regression trees with applications to insurance ⋮ A Bayesian spatio-temporal model for precipitation extremes -- STOR team contribution to the EVA2017 challenge ⋮ INLA goes extreme: Bayesian tail regression for the estimation of high spatio-temporal quantiles ⋮ The MELBS team winning entry for the EVA2017 competition for spatiotemporal prediction of extreme rainfall using generalized extreme value quantiles ⋮ Extreme-value-theoretic estimation of local intrinsic dimensionality ⋮ The Hill estimators under power normalization ⋮ Precise large deviations for dependent subexponential variables ⋮ The coupling method in extreme value theory ⋮ Climate extreme event attribution using multivariate peaks-over-thresholds modeling and counterfactual theory ⋮ Assessing the performance of the discrete generalised Pareto distribution in modelling non-life insurance claims ⋮ Selecting the optimal sample fraction in univariate extreme value estimation ⋮ Optimal rates of convergence for estimates of the extreme value index ⋮ Local asymptotic normality of truncated empirical processes ⋮ Confidence intervals of the generalized Pareto distribution parameters based on upper record values ⋮ Semiparametric bivariate modelling with flexible extremal dependence ⋮ Inferences on parametric estimation of distribution tails ⋮ Risk forecasting in the context of time series ⋮ Modelling extreme claims via composite models and threshold selection methods ⋮ Identifying groups of variables with the potential of being large simultaneously ⋮ Econometric modeling of risk measures: a selective review of the recent literature ⋮ On discrimination between classes of distribution tails ⋮ Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals ⋮ The estimations under power normalization for the tail index, with comparison ⋮ The \(q\)-exponentials do not maximize the Rényi entropy ⋮ A horse race between the block maxima method and the peak-over-threshold approach ⋮ A change-point approach for the identification of financial extreme regimes ⋮ On the tail behaviour of aggregated random variables ⋮ Extremes and regular variation ⋮ Space-time trend detection and dependence modeling in extreme event approaches by functional peaks-over-thresholds: application to precipitation in Burkina Faso ⋮ Asymptotic properties of duration-based VaR backtests ⋮ Statistical inference based on weighted divergence measures with simulations and applications ⋮ Minimax risk bounds in extreme value theory ⋮ Scoring predictions at extreme quantiles ⋮ The Generalized Marshall–Olkin Type Multivariate Pareto Distributions ⋮ On consistency of the likelihood moment estimators for a linear process with regularly varying innovations ⋮ Estimation of the Bias of the Maximum Likelihood Estimators in an Extreme Value Context ⋮ Generalized Pareto distribution fit to medical insurance claims data ⋮ Semi-parametric approach to the Hasofer-Wang and Greenwood statistics in extremes ⋮ Extremal quantile regression ⋮ A Latent Process Model for Temporal Extremes ⋮ Optimal Path Planning for Information Based Localization ⋮ A local moment type estimator for the extreme value index in regression with random covariates ⋮ Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations ⋮ The empirical distribution function as a tail estimator ⋮ Default Priors Based on Pseudo-Likelihoods for the Poisson-GPD Model ⋮ Valuing multirisk catastrophe reinsurance based on the Cox-Ingersoll-Ross (CIR) model ⋮ Nonparametric regression estimation of conditional tails: the random covariate case ⋮ Divergence based robust estimation of the tail index through an exponential regression model ⋮ A new flexible extreme value model for modeling the extreme value data, with an application to environmental data ⋮ Regression models for exceedance data: a new approach ⋮ A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures ⋮ Inference and Optimal Design Based on Step—Partially Accelerated Life Tests for the Generalized Pareto Distribution under Progressive Type-I Censoring ⋮ A new random field on lattices ⋮ On estimation of the scale and location parameters of distribution tails ⋮ Preservation of distributional properties of component lifetimes by system lifetimes ⋮ (Quasi) uniqueness and restoring dynamics of price-dispersion market equilibria under search cost ⋮ Maximum likelihood estimators based on the block maxima method ⋮ On posterior consistency of tail index for Bayesian kernel mixture models ⋮ Optimal bounds for the mean of the total time on test for distributions with decreasing generalized failure rate ⋮ An optimal threshod selection approach for the value at risk of the extreme events ⋮ Modeling panels of extremes ⋮ A research based on POT-CAViaR model of extreme risk measure ⋮ Measurement of risk based on QR-GARCH-EVT model ⋮ The harmonic moment tail index estimator: asymptotic distribution and robustness ⋮ High concentrations of a passive scalar in turbulent dispersion ⋮ On Families of Distributions for Which Optimal Bounds on Expectations of GOS Can be Derived ⋮ A double generalized Pareto distribution ⋮ A review on consistency and robustness properties of support vector machines for heavy-tailed distributions ⋮ New power limits for extremes ⋮ Semi-parametric probability-weighted moments estimation revisited ⋮ Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach ⋮ Random weighting estimation of stable exponent ⋮ Extreme-quantile tracking for financial time series ⋮ Analysis of adaptive walks on NK fitness landscapes with different interaction schemes ⋮ Accounting for the threshold uncertainity in extreme value estimation ⋮ A representation of bivariate extreme value distributions via norms on \(\mathbb{R}^2\) ⋮ On testing extreme value conditions ⋮ Recurrence relations for quotient moments of the generalized Pareto distribution byK-th record values ⋮ Estimation for the Generalized Pareto Distribution Using Maximum Likelihood and Goodness of Fit ⋮ How fast can the chord length distribution decay? ⋮ Peaks-over-threshold stability of multivariate generalized Pareto distributions ⋮ Asymptotic distribution of a Pickands-type estimator of the extreme-value index ⋮ On the relative approximation error of the generalized Pareto approximation for a high quantile ⋮ Practical extreme value modelling of hydrological floods and droughts: a case study ⋮ Bayesian inference for extremes: accounting for the three extremal types ⋮ Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling ⋮ Strong convergence bounds of the Hill-type estimator under second-order regularly varying conditions ⋮ The contribution of the maximum to the sum of excesses for testing max-domains of attraction ⋮ Weighted least squares estimation of the extreme value index ⋮ On univariate extreme value statistics and the estimation of reinsurance premiums ⋮ Some Best Parameter Estimates for Distributions with Finite Endpoint ⋮ A class of distribution functions with less bias in extreme value estimation ⋮ Partially smooth tail-index estimation for small samples ⋮ Robust and bias-corrected estimation of the coefficient of tail dependence ⋮ Local robust and asymptotically unbiased estimation of conditional Pareto-type tails ⋮ Unnamed Item ⋮ OPTIMAL SEMIPARAMETRIC INFERENCE FOR THE TAIL INDEX BASED ON RATIOS OF THE LARGEST EXTREMES ⋮ On tail index estimation based on multivariate data ⋮ Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution ⋮ Asymptotic distributions for weighted power sums of extreme values ⋮ Bayesian estimation for non zero inflated modified power series distribution under linex and generalized entropy loss functions ⋮ A new hybrid estimation method for the generalized pareto distribution ⋮ Skew generalized extreme value distribution: Probability-weighted moments estimation and application to block maxima procedure ⋮ A new test for tail index with application to Danish fire loss data ⋮ The beta-Pareto distribution ⋮ A New Weibull–Pareto Distribution: Properties and Applications ⋮ Workload Portfolio Optimization for Virtualized Computer Systems Based on Semiparametric Quantile Function Estimation ⋮ Smooth tail-index estimation ⋮ Gumbel regression models for a monotone increasing continuous biomarker subject to measurement error ⋮ Model for dynamic multiple of CPPI strategy ⋮ Extreme value theory in medical sciences: modeling total high cholesterol levels ⋮ Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables ⋮ Estimation of a scale second-order parameter related to the PORT methodology ⋮ Adjusted empirical likelihood method for the tail index of a heavy-tailed distribution ⋮ Pseudo-convex mixtures generated by shape-extended stable distributions for extremes ⋮ Generalised smooth tests for the generalised Pareto distribution ⋮ Two-sided variable inspection plans for arbitrary continuous populations with unknown distribution ⋮ Asymptotic distributions of linear combinations of intermediate order statistics ⋮ Asymptotic normality of the extreme quantile estimator based on the POT method ⋮ Models with hidden regular variation: Generation and detection ⋮ On the block maxima method in extreme value theory: PWM estimators ⋮ Bayesian analysis of extreme events with threshold estimation ⋮ The space of \(D\)-norms revisited ⋮ Efficiency of convex combinations of pickands estimator of the extreme value index ⋮ Optimally robust estimators in generalized Pareto models ⋮ Projection Mean–Variance Bounds on Expectations ofkth Record Values from Restricted Families ⋮ Robust confidence bounds for extreme upper quantiles ⋮ Existence and consistency of the maximum likelihood estimators for the extreme value index within the block maxima framework ⋮ A two-step approach to model precipitation extremes in California based on max-stable and marginal point processes ⋮ On monitoring financial stress index with extreme value theory ⋮ On tail trend detection: modeling relative risk ⋮ Max-stable processes and the functional \(D\)-norm revisited ⋮ Estimation of tail-related value-at-risk measures: range-based extreme value approach ⋮ Extreme value statistics and wind storm losses: A case study ⋮ A seasonal mixed-POT model to estimate high flood quantiles from different event types and seasons ⋮ Fitting the generalized Pareto distribution to data based on transformations of order statistics ⋮ Heavy tail index estimation based on block order statistics ⋮ Estimation for the generalized pareto distribution with censored data ⋮ Penultimate approximation for the distribution of the excesses ⋮ A unification of tail estimators ⋮ RECURRENCE RELATIONS FOR SINGLE AND PRODUCT MOMENTS OF GENERALIZED ORDER STATISTICS FROM PARETO, GENERALIZED PARETO, AND BURR DISTRIBUTIONS ⋮ BETA-NORMAL DISTRIBUTION AND ITS APPLICATIONS ⋮ The limiting distribution of extremal exchange rate returns ⋮ Bayesian time-varying quantile regression on exceedance ⋮ Expected shortfall estimation for apparently infinite-mean models of operational risk ⋮ Method G: Uncertainty Quantification for Distributed Data Problems Using Generalized Fiducial Inference ⋮ Flexible and Fast Spatial Return Level Estimation Via a Spatially Fused Penalty ⋮ US stock returns: are there seasons of excesses? ⋮ Estimating Oil Price Value at Risk Using Belief Functions ⋮ Estimation of the distortion risk premium for heavy-tailed losses under serial dependence ⋮ A comparative evaluation of the estimators of the three-parameter generalized pareto distribution ⋮ A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT ⋮ A new generalized normal distribution: Properties and applications ⋮ Optimal threshold determination based on the mean excess plot ⋮ Exponentiated generalized Pareto distribution: Properties and applications towards extreme value theory ⋮ The geometric mean? ⋮ MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions ⋮ Permutation bootstrap and the block maxima method ⋮ Leave-One-Out Kernel Density Estimates for Outlier Detection ⋮ Bayesian analysis for heteroscedastic normal-Pareto mixture model with application ⋮ A survey of a hurdle model for heavy-tailed data based on the generalized lambda distribution ⋮ Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework ⋮ Estimating a tail of the mixture of log-normal and inverse Gaussian distribution ⋮ A folding methodology for multivariate extremes: estimation of the spectral probability measure and actuarial applications ⋮ Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing ⋮ On a new generalization of Pareto distribution and its applications ⋮ Sharp bounds for the mean of the total time on test for distributions with increasing generalized failure rate ⋮ Dependent Lindeberg central limit theorem for the fidis of empirical processes of cluster functionals ⋮ Recurrence relations for single and product moments of record values from generalized pareto distribution ⋮ Extreme value theory for stochastic processes ⋮ Odd Pareto families of distributions for modeling loss payment data ⋮ Reliability of stress–strength model for exponentiated Pareto distributions ⋮ Correcting Certain Estimation Methods for the Generalized Pareto Distribution ⋮ NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY ⋮ Parameter estimation for three-parameter generalized Pareto distribution by weighted non linear least squares ⋮ Unnamed Item ⋮ An estimator for the extreme-value index ⋮ Comparison of estimation methods in extreme value theory ⋮ Statistical choice of extreme value domains of attraction — a comparative analysis ⋮ Residual life functionals at great age ⋮ Refined pickands estimators wtth bias correction ⋮ The exchange rate risk of Chinese yuan: Using VaR and ES based on extreme value theory ⋮ Tail density estimation for exploratory data analysis using kernel methods ⋮ A semi-parametric Bayesian extreme value model using a Dirichlet process mixture of gamma densities ⋮ Extreme values identification in regression using a peaks-over-threshold approach ⋮ Unnamed Item ⋮ On the maximal life span of humans ⋮ Threshold selection for regional peaks-over-threshold data ⋮ Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies ⋮ A Bayesian model for multiple change point to extremes, with application to environmental and financial data ⋮ ON SUMS OF INDEPENDENT GENERALIZED PARETO RANDOM VARIABLES WITH APPLICATIONS TO INSURANCE AND CAT BONDS ⋮ Unnamed Item ⋮ Test for the existence of finite moments via bootstrap ⋮ Using Coupling Methods to Estimate Sample Quality of Stochastic Differential Equations ⋮ Statistics of extremes in climatology ⋮ A Median Regression Model to Estimate the Parameters of the Three-Parameter Generalized Pareto Distribution ⋮ DPOT Methodology: An Application to Value-at-Risk ⋮ Peaks-Over-Threshold Modeling Under Random Censoring ⋮ Trend in high tropospheric ozone levels. Application to paris monitoring sites ⋮ Modeling Waves of Extreme Temperature: The Changing Tails of Four Cities ⋮ Explicit expressions for moments of Pareto order statistics ⋮ A hybrid estimator for generalized pareto and extreme-value distributions ⋮ Parameter Estimation for the Tail Distribution of a Random Sequence ⋮ Unnamed Item ⋮ A tail estimator for the index of the stable paretian distribution^∗ ⋮ Asymptotic behaviour of the probability-weighted moments and penultimate approximation ⋮ ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA ⋮ LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION ⋮ Asymptotic Normality of Extreme Quantile Estimators Based on the Peaks-Over-Threshold Approach ⋮ Estimation of Tails and Related Quantities Using the Number of Near-Extremes ⋮ Estimating Extreme Quantiles of Weibull Tail Distributions ⋮ Two-step methods in VaR prediction and the importance of fat tails ⋮ Multivariate Pareto portfolios: TCE-based capital allocation and divided differences ⋮ AN EXTREME-VALUE THEORY APPROXIMATION SCHEME IN REINSURANCE AND INSURANCE-LINKED SECURITIES ⋮ Regression models for time-varying extremes ⋮ An R package for testing goodness of fit: goft ⋮ A Discrimination Test for Tails of Weibull-Type Distributions ⋮ Minimum-Distance Estimator for Stable Exponent ⋮ Recurrence relations for inverse and ratio moments of generalized order statistics from doubly truncated ⋮ NEYMAN SMOOTH TESTS FOR THE GENERALIZED PARETO DISTRIBUTION ⋮ Discrimination of psychotropic drugs over‐consumers using a threshold exceedance based approach ⋮ Unnamed Item ⋮ Rate of convergence for the generalized Pareto approximation of the excesses ⋮ Functionals of clusters of extremes ⋮ Hunting for Black Swans in the European Banking Sector Using Extreme Value Analysis ⋮ Parametric Estimates in a Generalized Pareto Distribution ⋮ Local asymptotic normality of intermediate and central order statistics ⋮ A large deviation theory-based analysis of heat waves and cold spells in a simplified model of the general circulation of the atmosphere ⋮ A robust process capability index ⋮ Multivariate Extreme Value Theory And Its Usefulness In Understanding Risk ⋮ The Lee-Carter Model for Forecasting Mortality, Revisited ⋮ A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation ⋮ Modeling Insurance Claims with Extreme Observations: Transformed Kernel Density and Generalized Lambda Distribution

This page was built for publication: Statistical inference using extreme order statistics