scientific article; zbMATH DE number 469373
From MaRDI portal
Publication:4272657
zbMath0800.60020MaRDI QIDQ4272657
Jonathan A. Tawn, Stuart G. Coles
Publication date: 20 December 1993
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
maximum likelihoodextreme value theorymultivariate orderinggeneralized Pareto distributionnon-homogeneous Poisson processsimplex measures
Non-Markovian processes: estimation (62M09) Extreme value theory; extremal stochastic processes (60G70) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items
Estimating the probability of widespread flood events, Spatial extreme value analysis to project extremes of large‐scale indicators for severe weather, Total positivity in multivariate extremes, A modeler's guide to extreme value software, Simulating flood event sets using extremal principal components, Statistical modeling of spatial extremes, Polynomial Pickands functions, On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures, Multivariate extremes and max-stable processes: discussion of the paper by Zhengjun Zhang, Hierarchical Transformed Scale Mixtures for Flexible Modeling of Spatial Extremes on Datasets With Many Locations, Bayesian Dirichlet mixture model for multivariate extremes: a re-parametrization, Bayesian threshold selection for extremal models using measures of surprise, Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion, Modeling spatial extremes using normal mean-variance mixtures, An estimator of the stable tail dependence function based on the empirical beta copula, Bias correction in extreme value statistics with index around zero, Moment estimation for multivariate extreme value distribution, Linking representations for multivariate extremes via a limit set, Extreme value modelling of water-related insurance claims, Time-varying extreme value dependence with application to leading European stock markets, Approximation and estimation of very small probabilities of multivariate extreme events, Multivariate extreme value distribution and its Fisher information matrix, Asymmetric tail dependence modeling, with application to cryptocurrency market data, Sparse representation of multivariate extremes with applications to anomaly detection, \(k\)th-order Markov extremal models for assessing heatwave risks, Software for the analysis of extreme events: The current state and future directions, \(k\)-means clustering of extremes, Multivariate generalized Pareto distributions, Dense classes of multivariate extreme value distributions, Smoothed jackknife empirical likelihood method for tail copulas, Estimation of spatial max-stable models using threshold exceedances, Conditional independence among max-stable laws, On approximating max-stable processes and constructing extremal copula functions, Approximating the conditional density given large observed values via a multivariate extremes framework, with application to environmental data, A note on the representation of parametric models for multivariate extremes, Accounting for uncertainty in extremal dependence modeling using Bayesian model averaging techniques, Tail risk of multivariate regular variation, Unnamed Item, A software review for extreme value analysis, A comparison of dependence function estimators in multivariate extremes, A new representation for multivariate tail probabilities, Self-consistent estimation of conditional multivariate extreme value distributions, A polynomial model for bivariate extreme value distributions, Detecting a conditional extreme value model, Spatial modeling of extreme snow depth, Parametric tail copula estimation and model testing, Some notes on multivariate generalized Pareto distributions, Bivariate distributions with given extreme value attractor, Estimating the probability of a rare event, Limit laws for random vectors with an extreme component, Extreme market risk and extreme value theory, Nonparametric estimation of the spectral measure, and associated dependence measures, for multivariate extreme values using a limiting conditional representation, A New Class of Models for Bivariate Joint Tails, Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables, Assessing conditional extremal risk of flooding in Puerto Rico, Tail behaviour and extremes of two-state Markov-switching autoregressive models, Multivariate peaks over thresholds models, An M-estimator for tail dependence in arbitrary dimensions, Continuous spatial process models for spatial extreme values, Diagnostics for Dependence within Time Series Extremes, Dependence estimation and visualization in multivariate extremes with applications to financial data, Regular score tests of independence in multivariate extreme values, An efficient semiparametric maxima estimator of the extremal index, Non-linear models for extremal dependence, On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix, On the estimation and application of max-stable processes, Semi-parametric modeling of excesses above high multivariate thresholds with censored data, Multivariate extreme models based on underlying skew-\(t\) and skew-normal distributions, Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution, Extremal attractors of Liouville copulas, The pairwise beta distribution: A flexible parametric multivariate model for extremes, Extremal dependence of random scale constructions, Bayesian inference with \(M\)-splines on spectral measure of bivariate extremes, A continuous updating weighted least squares estimator of tail dependence in high dimensions, A geometric investigation into the tail dependence of vine copulas, Modeling multivariate extreme events using self-exciting point processes, An extended Gaussian max-stable process model for spatial extremes, Bayesian model averaging for multivariate extremes, A method of moments estimator of tail dependence, Convex geometry of max-stable distributions, Conditioned limit laws for inverted max-stable processes, Modelling extremes of time-dependent data by Markov-switching structures, Semiparametric bivariate modelling with flexible extremal dependence, Spatial sampling plans to monitor the 3-D spatial distribution of extremes in soil pollution surveys, Bayesian Model Averaging Over Tree-based Dependence Structures for Multivariate Extremes, Fourier methods for testing multivariate independence, Modeling Spatial Processes with Unknown Extremal Dependence Class, Bivariate extreme analysis of Olympic swimming data, Exceedance-based nonlinear regression of tail dependence, Limiting dependence structures for tail events, with applications to credit derivatives, The estimation of M4 processes with geometric moving patterns, Estimating the tail-dependence coefficient: properties and pitfalls, The extremal index of a higher-order stationary Markov chain, Toward a Copula Theory for Multivariate Regular Variation, One- versus multi-component regular variation and extremes of Markov trees, Nonparametric estimation of the spectral measure of an extreme value distribution., Relations between the spectral measures and dependence of MEV distributions, The space of \(D\)-norms revisited, The spectrogram: a threshold-based inferential tool for extremes of stochastic processes, Sparse regular variation, Asymptotically distribution-free goodness-of-fit testing for tail copulas, Bias correction in multivariate extremes, Multivariate Extreme Value Theory And Its Usefulness In Understanding Risk, Moving-maximum models for extrema of time series, Conditional quantiles and tail dependence, Extremes on river networks, Likelihood estimators for multivariate extremes
