Estimating the probability of a rare event

DOI10.1214/aos/1018031214zbMath1105.62344OpenAlexW2061695068MaRDI QIDQ1970487

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

zbMATH Keywords

estimationfunctional central limit theoremmultivariate extremesempirical processfailure chancefailure regionVapnik-Cervonenkis class.

Mathematics Subject Classification ID

Multivariate analysis (62H99) Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32) Survival analysis and censored data (62N99)

Related Items (22)

On convergence toward an extreme value distribution in \(C[0,1\)] ⋮ Parametric control charts ⋮ Approximation and estimation of very small probabilities of multivariate extreme events ⋮ Unnamed Item ⋮ On estimation of the scale and location parameters of distribution tails ⋮ Smoothed jackknife empirical likelihood method for tail copulas ⋮ A multivariate piecing-together approach with an application to operational loss data ⋮ Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition ⋮ On optimal portfolio diversification with respect to extreme risks ⋮ Weak consistency of extreme value estimators in \(C[0,1\)] ⋮ Partial derivatives and confidence intervals of bivariate tail dependence functions ⋮ Bootstrap approximation of tail dependence function ⋮ Bivariate tail estimation: dependence in asymptotic independence ⋮ Asymptotic normality of extreme value estimators on \(C[0,1\)] ⋮ Bayesian inference with \(M\)-splines on spectral measure of bivariate extremes ⋮ Estimating the multivariate extremal index function ⋮ It was 30 years ago today when Laurens de Haan went the multivariate way ⋮ On discrimination between classes of distribution tails ⋮ Nonparametric estimation of the spectral measure of an extreme value distribution. ⋮ Bias correction in multivariate extremes ⋮ Estimating failure probabilities ⋮ Estimating the Probability of a Rare Event via Elliptical Copulas

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A moment estimator for the index of an extreme-value distribution
• Universal Donsker classes and metric entropy
• Estimating the spectral measure of an extreme value distribution
• Sea and wind: multivariate extremes at work
• Optimal choice of sample fraction in extreme-value estimation
• Selecting the optimal sample fraction in univariate extreme value estimation
• Weak convergence and empirical processes. With applications to statistics
• Statistics of Multivariate Extremes
• Statistics for near independence in multivariate extreme values
• Estimating the limit distribution of multivariate extremes
• Limit theory for multivariate sample extremes
• Estimating exceedance probabilities in higher-dimensional space
• Statistical Methods for Multivariate Extremes: An Application to Structural Design
• Using a bootstrap method to choose the sample fraction in tail index estimation

This page was built for publication: Estimating the probability of a rare event