scientific article; zbMATH DE number 1944037

zbMATH Open1021.62038MaRDI QIDQ4410085FDOQ4410085

Authors: Holger Drees 

Publication date: 21 October 2003

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

Recommendations

• Weighted approximations of tail processes for \(\beta\)-mixing random variables.
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• A strong invariance theorem for the tail empirical process

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

Cited In (26)

• Corrected-Hill versus partially reduced-bias value-at-risk estimation
• The tail empirical process for long memory stochastic volatility models with leverage
• Fitting time series with heavy tails and strong time dependence
• Asymptotics of partial sums of linear processes with changing memory parameter
• Statistical inference for heavy tailed series with extremal independence
• Weighted approximations of tail processes for \(\beta\)-mixing random variables.
• Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
• Deviations between sample quantiles and empirical processes under absolute regular properties
• The tail empirical process for long memory stochastic volatility sequences
• Integral functionals and the bootstrap for the tail empirical process
• Title not available (Why is that?)
• The tail empirical process of regularly varying functions of geometrically ergodic Markov chains
• ExpectHill estimation, extreme risk and heavy tails
• Tail and nontail memory with applications to extreme value and robust statistics
• Limit theorems for tail processes with application to intermediate quantile estimation
• Weak convergence of a pseudo maximum likelihood estimator for the extremal index
• On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
• On tail probabilities of Kolmogorov-Smirnov statistic based on strong mixing processes
• Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
• On the measurement and treatment of extremes in time series
• Modeling and fitting of time series with heavy distribution tails and strong time dependence by Gaussian time series
• Some aspects of extreme value statistics under serial dependence
• Limit theorems for empirical processes of cluster functionals
• Estimating the multivariate extremal index function
• Inference for the limiting cluster size distribution of extreme values
• Weak convergence of the tail empirical process for dependent sequences

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