High-dimensional peaks-over-threshold inference

DOI10.1093/biomet/asy026zbMath1499.62158arXiv1605.08558OpenAlexW2625415604WikidataQ129977329 ScholiaQ129977329MaRDI QIDQ4561013

Raphaël de Fondeville, Anthony C. Davison

Publication date: 10 December 2018

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.08558

zbMATH Keywords

statistics of extremesfunctional regular variationproper scoring rulePareto processgradient scorepeaks-over-threshold analysis

Mathematics Subject Classification ID

Applications of statistics to environmental and related topics (62P12) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Stable stochastic processes (60G52)

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