Estimating the probability of a rare event
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Cites work
- A moment estimator for the index of an extreme-value distribution
- Estimating exceedance probabilities in higher-dimensional space
- Estimating the limit distribution of multivariate extremes
- Estimating the spectral measure of an extreme value distribution
- scientific article; zbMATH DE number 3824949 (Why is no real title available?)
- scientific article; zbMATH DE number 409721 (Why is no real title available?)
- scientific article; zbMATH DE number 469373 (Why is no real title available?)
- Limit theory for multivariate sample extremes
- Optimal choice of sample fraction in extreme-value estimation
- Sea and wind: multivariate extremes at work
- Selecting the optimal sample fraction in univariate extreme value estimation
- Statistical Methods for Multivariate Extremes: An Application to Structural Design
- Statistics for near independence in multivariate extreme values
- Statistics of Multivariate Extremes
- Universal Donsker classes and metric entropy
- Using a bootstrap method to choose the sample fraction in tail index estimation
- Weak convergence and empirical processes. With applications to statistics
Cited in
(28)- Estimating the multivariate extremal index function
- It was 30 years ago today when Laurens de Haan went the multivariate way
- Weak consistency of extreme value estimators in \(C[0,1]\)
- Bivariate tail estimation: dependence in asymptotic independence
- Nonparametric estimation of the spectral measure of an extreme value distribution.
- On convergence toward an extreme value distribution in \(C[0,1]\)
- Parametric control charts
- Bayesian inference with \(M\)-splines on spectral measure of bivariate extremes
- On discrimination between classes of distribution tails
- Bias correction in multivariate extremes
- Estimating failure probabilities
- Partial derivatives and confidence intervals of bivariate tail dependence functions
- Asymptotic normality of extreme value estimators on \(C[0,1]\)
- On estimation of the scale and location parameters of distribution tails
- Approximation and estimation of very small probabilities of multivariate extreme events
- Event Extent Estimation
- scientific article; zbMATH DE number 5787344 (Why is no real title available?)
- A multivariate piecing-together approach with an application to operational loss data
- Estimating the Expected Total Number of Events in a Process
- Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
- Assessing risk for rare events
- Estimating the probability of a rare event via elliptical copulas
- A note on asymptotic normality of a copula function in regression model
- Probability Estimation in the Rare-Events Regime
- Smoothed jackknife empirical likelihood method for tail copulas
- On optimal portfolio diversification with respect to extreme risks
- Concentration bounds for the empirical angular measure with statistical learning applications
- Bootstrap approximation of tail dependence function
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