Estimating the probability of a rare event
DOI10.1214/AOS/1018031214zbMATH Open1105.62344OpenAlexW2061695068MaRDI QIDQ1970487FDOQ1970487
Authors: Ashoke Kumar Sinha, Laurens De Haan 
Publication date: 1999
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aos/1018031214
Recommendations
empirical processestimationmultivariate extremesfunctional central limit theoremfailure chancefailure regionVapnik-Cervonenkis class.
Multivariate analysis (62H99) Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32) Survival analysis and censored data (62N99)
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Cited In (28)
- Smoothed jackknife empirical likelihood method for tail copulas
- Title not available (Why is that?)
- Estimating failure probabilities
- Probability Estimation in the Rare-Events Regime
- Asymptotic normality of extreme value estimators on \(C[0,1]\)
- Nonparametric estimation of the spectral measure of an extreme value distribution.
- Estimating the Expected Total Number of Events in a Process
- Bias correction in multivariate extremes
- It was 30 years ago today when Laurens de Haan went the multivariate way
- Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
- Parametric control charts
- A note on asymptotic normality of a copula function in regression model
- Estimating the probability of a rare event via elliptical copulas
- On discrimination between classes of distribution tails
- Bivariate tail estimation: dependence in asymptotic independence
- Bootstrap approximation of tail dependence function
- Concentration bounds for the empirical angular measure with statistical learning applications
- On convergence toward an extreme value distribution in \(C[0,1]\)
- Bayesian inference with \(M\)-splines on spectral measure of bivariate extremes
- Approximation and estimation of very small probabilities of multivariate extreme events
- On optimal portfolio diversification with respect to extreme risks
- Event Extent Estimation
- Weak consistency of extreme value estimators in \(C[0,1]\)
- Assessing risk for rare events
- Partial derivatives and confidence intervals of bivariate tail dependence functions
- On estimation of the scale and location parameters of distribution tails
- A multivariate piecing-together approach with an application to operational loss data
- Estimating the multivariate extremal index function
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