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zbMATH Open0706.62039MaRDI QIDQ3486670FDOQ3486670

Publication date: 1990

Title of this publication is not available (Why is that?)

maximum likelihood profile likelihood regression seasonality generalized extreme value distribution generalized Pareto distribution peaks over threshold serial dependence return level point process of exceedances wave heights data on river flows exceedances over high thresholds model-checking procedures siting of nuclear installations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric inference (62F99)

Cited In (only showing first 100 items - show all)

A statistical test procedure for the shape parameter of a generalized Pareto distribution
Forecasting value-at-risk with a duration-based POT method
Efficient likelihood-based inference for the generalized Pareto distribution
Fitting a parametric distribution for large claims in case of censored or partitioned data
Improving extreme quantile estimation via a folding procedure
Free extreme values
Statistical inference for inter-arrival times of extreme events in bursty time series
Spatial sampling plans to monitor the 3-D spatial distribution of extremes in soil pollution surveys
Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
Extreme value modeling under power normalization
Likelihood inference for generalized Pareto distribution
A time dependent Bayesian nonparametric model for air quality analysis
Multivariate peaks over thresholds models
Tail dimension reduction for extreme quantile estimation
Bayesian threshold selection for extremal models using measures of surprise
Practical extreme value modelling of hydrological floods and droughts: a case study
On testing the extreme value index via the POT-method
EVT-based estimation of risk capital and convergence of high quantiles
Zero-inflated truncated generalized Pareto distribution for the analysis of radio audience data
Accounting for choice of measurement scale in extreme value modeling
Modelling extremes of spatial aggregates of precipitation using conditional methods
Simulating flood event sets using extremal principal components
Extreme-value analysis of teletraffic data
Default Priors Based on Pseudo-Likelihoods for the Poisson-GPD Model
Conditioning exceedances on covariate processes
The Lee-Carter Model for Forecasting Mortality, Revisited
Estimation of the generalized Pareto distribution
Normex, a new method for evaluating the distribution of aggregated heavy tailed risks
Portfolio risk assessment using multivariate extreme value methods
Extremal dependence analysis of network sessions
Regression estimator for the tail index
Nonparametric estimation of extreme conditional quantiles with functional covariate
A hybrid Pareto model for asymmetric fat-tailed data: the univariate case
Closed-form maximum likelihood estimator for generalized linear models in the case of categorical explanatory variables: application to insurance loss modeling
Modelling the clustering of extreme events for short-term risk assessment
Strong convergence of multivariate point processes of exceedances
Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles
Polynomial power-Pareto quantile function models
Modeling of claim exceedances over random thresholds for related insurance portfolios
Bayesian inference for extremes: accounting for the three extremal types
Review of testing issues in extremes: in honor of Professor Laurens de Haan
Regression models for exceedance data: a new approach
A Bayesian approach to extended models for exceedance
Extreme Quantile Estimation Based on the Tail Single-index Model
Nonparametric spatial models for extremes: application to extreme temperature data
Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
A LAN based Neyman smooth test for Pareto distributions
Bayesian uncertainty management in temporal dependence of extremes
On the measurement and treatment of extremes in time series
On tail trend detection: modeling relative risk
Multivariate flexible Pareto model: dependency structure, properties and characterizations
Local polynomial maximum likelihood estimation for Pareto-type distributions.
A flexible extreme value mixture model
Estimating a bivariate tail: a copula based approach
A nonparametric estimator for the conditional tail index of Pareto-type distributions
Threshold selection for extremes under a semiparametric model
Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
A local moment type estimator for the extreme value index in regression with random covariates
A loss function approach to identifying environmental exceedances
Geostatistics of dependent and asymptotically independent extremes
Downscaling extremes: a comparison of extreme value distributions in point-source and gridded precipitation data
A latent process model for temporal extremes
An extension of the generalized exponential distribution
A default Bayesian approach for regression on extremes
Rare event probability estimation in the presence of epistemic uncertainty on input probability distribution parameters
Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles
Regression with response distributions of Pareto-type
Statistical advances in environmental science
Estimation of spatial max-stable models using threshold exceedances
On the estimation and application of max-stable processes
Accounting for the threshold uncertainity in extreme value estimation
Modelling dependence uncertainty in the extremes of Markov chain
Multivariate generalized Pareto distributions
Testing for a multivariate generalized Pareto distribution
Estimation of the extreme value index and extreme quantiles under random censoring
Goodness-of-fit tests for a heavy tailed distribution
Bias-reduced estimators of the Weibull tail-coefficient
Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling
Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
On the use of the peaks over thresholds method for estimating out-of-sample quantiles.
Optimal threshold determination based on the mean excess plot
Detecting tail behavior: mean excess plots with confidence bounds
Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data
A semiparametric Bayesian approach to extreme value estimation
A hierarchical model for serially-dependent extremes: a study of heat waves in the western US
Functional nonparametric estimation of conditional extreme quantiles
Robust and efficient estimation for the generalized Pareto distribution
Semi-parametric modeling of excesses above high multivariate thresholds with censored data
Estimation of extreme quantiles from heavy and light tailed distributions
The t Copula and Related Copulas
Anticipating Catastrophes through Extreme Value Modelling
Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
Conditional sampling for spectrally discrete max-stable random fields
Kernel regression with Weibull-type tails
Kernel estimators of extreme level curves
Assessing the performance of the discrete generalised Pareto distribution in modelling non-life insurance claims
A discussion on mean excess plots
A moment estimator for the conditional extreme-value index
Estimation of the conditional tail index using a smoothed local Hill estimator
Bayesian approaches for analyzing earthquake catastrophic risk

Uses Software

GLIM

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