scientific article; zbMATH DE number 409721
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Publication:4203249
zbMATH Open0775.62083MaRDI QIDQ4203249FDOQ4203249
Authors: Harry Joe, Ishay Weissman, Richard L. Smith 
Publication date: 8 September 1993
Title of this publication is not available (Why is that?)
Point estimation (62F10) Nonparametric estimation (62G05) Extreme value theory; extremal stochastic processes (60G70)
Cited In (45)
- Extreme value analysis of multivariate high-frequency wind speed data
- The pairwise beta distribution: A flexible parametric multivariate model for extremes
- Estimating the probability of a rare event
- A conditional extreme value volatility estimator based on high-frequency returns
- Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods
- Spatial sampling plans to monitor the 3-D spatial distribution of extremes in soil pollution surveys
- Some notes on multivariate generalized Pareto distributions
- A method of moments estimator of tail dependence
- Assessing conditional extremal risk of flooding in Puerto Rico
- Estimating extreme bivariate quantile regions
- Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models
- Nonparametric estimation of the spectral measure of an extreme value distribution.
- Multivariate peaks over thresholds models
- Multivariate generalized Pareto distributions
- Asymptotically distribution-free goodness-of-fit testing for tail copulas
- Bayesian threshold selection for extremal models using measures of surprise
- A compendium of copulas
- Bias correction in multivariate extremes
- Multivariate extremes and max-stable processes: discussion of the paper by Zhengjun Zhang
- Threshold selection for multivariate heavy-tailed data
- Efficient estimators and LAN in canonical bivariate POT models.
- Bivariate distributions with given extreme value attractor
- A polynomial model for bivariate extreme value distributions
- Estimating the tail-dependence coefficient: properties and pitfalls
- An analysis of a heuristic procedure to evaluate tail (in)dependence
- On the multivariate probability integral transformation
- On the tail dependence in bivariate hydrological frequency analysis
- Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
- Tail risk of multivariate regular variation
- Nonparametric estimation of the spectral measure, and associated dependence measures, for multivariate extreme values using a limiting conditional representation
- A journey beyond the Gaussian world. An interview with Harry Joe
- Bayesian inference with \(M\)-splines on spectral measure of bivariate extremes
- Likelihood estimators for multivariate extremes
- Approximation and estimation of very small probabilities of multivariate extreme events
- Polynomial Pickands functions
- Multivariate extreme models based on underlying skew-\(t\) and skew-normal distributions
- Self-consistent estimation of conditional multivariate extreme value distributions
- Rank-based inference for bivariate extreme-value copulas
- \(L^{\infty }\)-measure of non-exchangeability for bivariate extreme value and Archimax copulas
- Modeling operational risk: estimation and effects of dependencies
- A note on the representation of parametric models for multivariate extremes
- An extended Gaussian max-stable process model for spatial extremes
- An M-estimator for tail dependence in arbitrary dimensions
- Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
- Multivariate extreme value theory and its usefulness in understanding risk
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