Extreme value theory with operator norming

DOI10.1007/S10687-012-0166-XzbMath1286.60047OpenAlexW2165778207WikidataQ41873800 ScholiaQ41873800MaRDI QIDQ2443883

Mark M. Meerschaert, Stilian A. Stoev, Hans-Peter Scheffler

Publication date: 8 April 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc3892951

zbMATH Keywords

spectral representationheavy tailsparametric bootstrapoperator regular variationdirectional extremeshetero-ouracity

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Nonparametric statistical resampling methods (62G09) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17)

Related Items (2)

Operator tail dependence of copulas ⋮ Implicit extremes and implicit max-stable laws

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Cites Work

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• Spectral representations of sum- and max-stable processes
• A spectral representation for max-stable processes
• Option pricing for stable and infinitely divisible asset returns
• Estimation of stable spectral measures
• Extremal stochastic integrals: a parallel between max-stable processes and \(\alpha\)-stable processes
• Regular Variation in R k
• Multiparameter Processes
• Heavy-Tail Phenomena

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