scientific article; zbMATH DE number 1040106
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Publication:4345873
zbMATH Open0880.62002MaRDI QIDQ4345873FDOQ4345873
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Publication date: 28 July 1997
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Recommendations
Extreme value theory; extremal stochastic processes (60G70) Parametric inference (62F99) Order statistics; empirical distribution functions (62G30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)
Cited In (66)
- Extreme value analysis -- a brief overview with an application to flow discharge rate data in a hydrometric station in the North of Portugal
- Estimating the conditional tail expectation of randomly right-censored heavy-tailed data
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- Entropy of sharp restart
- An entropy-based validation of threshold selection technique for extreme value analysis and risk assessment
- A statistical test procedure for the shape parameter of a generalized Pareto distribution
- Extremes in random fields. A theory and its applications
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- The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance
- Gaussian approximation to the extreme value index estimator of a heavy-tailed distribution under random censoring
- Extreme value analysis within a parametric outlier detection framework
- Free extreme values
- Modelling the financial risk associated with U.S. Movie box office earnings
- Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach
- A nonparametric approach to calculating value-at-risk
- Extreme value distributions for dependent jointly \(l_{n,p}\)-symmetrically distributed random variables
- An application of extreme value theory for measuring financial risk
- Weighted approximations of tail processes for \(\beta\)-mixing random variables.
- Introduction to extreme value theory: applications to risk analysis and management
- Extreme market risk and extreme value theory
- Strong convergence bound of the Pareto index estimator under right censoring
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- Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models
- Selecting the optimal sample fraction in univariate extreme value estimation
- Extreme Values in Finance, Telecommunications, and the Environment
- Influence functions of empirical nonparametric estimators of net reinsurance premiums
- Editorial: Special issue on extreme theory and application. II
- Estimation of the extreme value index and extreme quantiles under random censoring
- Statistics of extremes under random censoring
- An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
- Vector generalized linear and additive extreme value models
- Volatilities analysis of first-passage time and first-return time on a small-world scale-free network
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- High risk scenarios and extremes. A geometric approach
- Knowledge Elicitation of Gompertz' Law of Mortality
- Kernel density estimation of actuarial loss functions
- Anticipating Catastrophes through Extreme Value Modelling
- Extreme value analysis of mortality at the oldest ages: a case study based on individual ages at death
- Software for the analysis of extreme events: The current state and future directions
- Estimating oil price value at risk using belief functions
- Probabilistic methods for the management of extreme risks
- Reiss and Thomas' automatic selection of the number of extremes
- Correcting certain estimation methods for the generalized Pareto distribution
- Expansions of multivariate Pickands densities and testing the tail dependence
- Copulas: A Review and Recent Developments
- 3D extreme value analysis for stock return, interest rate and speed of mean reversion
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Brownian Type Boundary Crossing Probabilities for Piecewise Linear Boundary Functions
- Cramér-Lundberg model for some classes of extremal Markov sequences
- Title not available (Why is that?)
- Estimating generalized state density of near-extreme events and its applications in analyzing stock data
- Normex, a new method for evaluating the distribution of aggregated heavy tailed risks
- Effect of extrapolation on coverage accuracy of prediction intervals computed from Pareto-type data
- Statistical Tools for Finance and Insurance
- Statistics of Extremes
- High volatility, thick tails and extreme value theory in value-at-risk estimation.
- Generalizing the Pareto to the log-Pareto model and statistical inference
- Empirical Testing Of The Infinite Source Poisson Data Traffic Model
- Some notes on extremal discriminant analysis
- Estimation of extreme values by the average conditional exceedance rate method
- Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
- On the measurement and treatment of extremes in time series
- Software review: XTREMES package
- Subsampling techniques and the jackknife methodology in the estimation of the extremal index
- Modelling extreme values by the residual coefficient of variation
- Look-ahead strategies for dynamic pickup and delivery problems
Uses Software
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