scientific article; zbMATH DE number 3903649

zbMATH Open0566.60023MaRDI QIDQ3681644FDOQ3681644

Authors: Laurens De Haan 

Publication date: 1984

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

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zbMATH Keywords

extreme-value distributionscharacterizations of the domains of attractioninverse of the distribution function

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30)

Cited In (47)

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• The MOP EVI-estimator revisited
• Hunting for black swans in the European banking sector using extreme value analysis
• On accompanying measures and asymptotic expansions in the B. V. Gnedenko limit theorem
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• \(K\)-record values and the extreme-value index
• On a generalized Pickands estimator of the extreme value index
• Functional nonparametric estimation of conditional extreme quantiles
• Asymptotic comparison of the mixed moment and classical extreme value index estimators
• Existence and consistency of the maximum likelihood estimator for the extreme value index
• De-Haan type conditions for max domains of attraction
• Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application
• Asymptotically unbiased estimators for the extreme-value index
• On a characteristic property of generalized Pareto distributions, extreme value distributions and their max domains of attraction
• Estimation of the tail parameter in the domain of attraction of an extremal distribution
• Empirical likelihood based confidence regions for first order parameters of heavy-tailed distribu\-tions
• On domains of uniform local attraction in extreme value theory
• Reliable alternative ways to manage the risk of extreme events
• Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation
• A general class of estimators of the extreme value index
• The extent of the maximum likelihood estimator for the extreme value index
• Reiss and Thomas' automatic selection of the number of extremes
• The continuous and differentiable domains of attraction of the extreme value distributions
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
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• A simple generalisation of the Hill estimator
• Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
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• Decomposition of non-decreasing slowly varying functions and the domain of attraction of Gaussian distributions
• Rate of convergence for the generalized Pareto approximation of the excesses
• On the relative approximation error of the generalized Pareto approximation for a high quantile
• The contribution of the maximum to the sum of excesses for testing max-domains of attraction
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• The limiting distribution of extremal exchange rate returns
• Detecting finiteness in the right endpoint of light-tailed distributions
• From extended regular variation to regular variation with application in extreme value statis\-tics
• Mixed moment estimator and location invariant alternatives
• A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
• Semi-parametric approach to the Hasofer-Wang and Greenwood statistics in extremes

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