On high level exceedance modeling and tail inference
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Publication:1890883
DOI10.1016/0378-3758(94)00075-1zbMATH Open0819.60050OpenAlexW2129367662MaRDI QIDQ1890883FDOQ1890883
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
Recommendations
- Estimating exceedance probabilities in higher-dimensional space
- Exceedance-based nonlinear regression of tail dependence
- A Bayesian approach to extended models for exceedance
- ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
- scientific article; zbMATH DE number 4100396
- High-dimensional parametric modelling of multivariate extreme events
- Extended generalised Pareto models for tail estimation
- Estimation of Tail Risk Based on Extreme Expectiles
Nonparametric estimation (62G05) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05)
Cites Work
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- On the exceedance point process for a stationary sequence
- Statistical inference using extreme order statistics
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- On tail index estimation using dependent data
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- On a basis for peaks over threshold modeling
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- The central limit problem for mixing sequences of random variables
- Convergence of sums of mixing triangular arrays of random vectors with stationary rows
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- A Comparison Method for Distribution Functions of Sums of Independent and Dependent Random Variables
- Limit theorems for strongly mixing stationary random measures
Cited In (10)
- A distribution estimation method based on level crossings
- On the number of near-maximum insurance claim under dependence.
- On the asymptotic distribution of certain bivariate reinsurance treaties
- Exceedance-based nonlinear regression of tail dependence
- Modeling threshold exceedance probabilities of spatially correlated time series
- Inference for Clusters of Extreme Values
- Estimation of extreme values by the average conditional exceedance rate method
- Modeling of claim exceedances over random thresholds for related insurance portfolios
- Some aspects of extreme value statistics under serial dependence
- Limit theorems for empirical processes of cluster functionals
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