Extreme value theory. An introduction.
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Publication:5485944
zbMATH Open1101.62002MaRDI QIDQ5485944FDOQ5485944
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Publication date: 5 September 2006
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spectral measureorder statisticsdomain of attractiontail indexquantile estimationPoisson point processestail probability estimationexponent measure
Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
Cited In (only showing first 100 items - show all)
- Causal discovery in heavy-tailed models
- Efficient likelihood-based inference for the generalized Pareto distribution
- Conditional marginal expected shortfall
- Extremal clustering in non-stationary random sequences
- Threshold selection in univariate extreme value analysis
- Conditional extreme value models: fallacies and pitfalls
- Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations
- Improved inference on risk measures for univariate extremes
- On distributionally robust extreme value analysis
- Extremal theory for spectrum of random discrete Schrödinger operator. II. Distributions with heavy tails
- Multivariate generalized Pareto distributions: parametrizations, representations, and properties
- Dimension reduction in multivariate extreme value analysis
- Extreme value theorems for optimal multidimensional pricing
- Robust quantile estimation under bivariate extreme value models
- On the probability of being maximal
- Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
- Approximation of the equilibrium distribution via extreme value theory: an application to insurance risk
- Limit theorems for Betti numbers of extreme sample clouds with application to persistence barcodes
- Max-linear models on directed acyclic graphs
- Multivariate peaks over thresholds models
- Risk contagion under regular variation and asymptotic tail independence
- Tail dimension reduction for extreme quantile estimation
- Modelling time series when mean and variability both change
- From concentration profiles to concentration maps. New tools for the study of loss distributions
- On a minimum distance procedure for threshold selection in tail analysis
- Threshold selection and trimming in extremes
- Discrimination of close hypotheses about the distribution tails using higher order statistics
- A test procedure for detecting super-heavy tails
- Convergence of persistence diagrams for topological crackle
- Extremes of projections of functional time series on data-driven basis systems
- Integral functionals and the bootstrap for the tail empirical process
- A regionalisation approach for rainfall based on extremal dependence
- Topological crackle of heavy-tailed moving average processes
- Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
- Extreme value analysis of empirical frame coefficients and implications for denoising by soft-thresholding
- Local-maximum-based tail index estimator
- Convergence of extreme values of Poisson point processes at small times
- Multiple thresholds in extremal parameter estimation
- On discrimination between classes of distribution tails
- Weighted allocations, their concomitant-based estimators, and asymptotics
- Multiple block sizes and overlapping blocks for multivariate time series extremes
- Ratio of generalized Hill's estimator and its asymptotic normality theory
- Eigenvectors of random matrices: A survey
- A general study of extremes of stationary tessellations with examples
- Aggregation of rapidly varying risks and asymptotic independence
- On the estimation of extreme directional multivariate quantiles
- On the modeling of size distributions when technologies are complex
- High quantile regression for extreme events
- Extreme $$L^p$$-quantile Kernel Regression
- Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
- Probabilities of concurrent extremes
- Limit laws for the norms of extremal samples
- Change point tests for the tail index of \(\beta\)-mixing random variables
- Exceedance probability of the integral of a stochastic process
- Characterization of multivariate heavy-tailed distribution families via copula
- Sojourn times and the fragility index
- Extremiles: A New Perspective on Asymmetric Least Squares
- On functional records and champions
- Extremal dependence analysis of network sessions
- Regression estimator for the tail index
- Estimation of extreme conditional quantiles under a general tail-first-order condition
- Tail asymptotic results for elliptical distributions
- Branching random walk with infinite progeny mean: a tale of two tails
- Maxima of long memory stationary symmetric \(\alpha\)-stable processes, and self-similar processes with stationary max-increments
- Bootstrap and empirical likelihood methods in extremes
- The space of \(D\)-norms revisited
- Correlations between record events in sequences of random variables with a linear trend
- Probability boxes on totally preordered spaces for multivariate modelling
- On idempotent \(D\)-norms
- Extremal eigenvalues and eigenvectors of deformed Wigner matrices
- Non asymptotic variance bounds and deviation inequalities by optimal transport
- Regional extreme value index estimation and a test of tail homogeneity
- Distributionally robust inference for extreme value-at-risk
- Asymptotic independence and support detection techniques for heavy-tailed multivariate data
- On extremes of random clusters and marked renewal cluster processes
- QQ Plots, Random Sets and Data from a Heavy Tailed Distribution
- A microfoundation for normalized CES production functions with factor-augmenting technical change
- Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
- Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
- A note on upper-patched generators for Archimedean copulas
- Review of testing issues in extremes: in honor of Professor Laurens de Haan
- A class of location invariant estimators for heavy tailed distributions
- Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
- A Bayesian approach to extended models for exceedance
- Extreme Quantile Estimation Based on the Tail Single-index Model
- Dependence structure of risk factors and diversification effects
- Haezendonck-Goovaerts risk measure with a heavy tailed loss
- From extended regular variation to regular variation with application in extreme value statis\-tics
- Is human life limited or unlimited? (A discussion of the paper by Holger Rootzén and Dmitrii Zholud)
- Kernel estimation of extreme regression risk measures
- Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions
- Hidden regular variation under full and strong asymptotic dependence
- Robust bounds in multivariate extremes
- Max-stable processes and the functional \(D\)-norm revisited
- Markov chain analysis of evolutionary algorithms on OneMax function -- from coupon collector's problem to (1 + 1) EA
- Models with hidden regular variation: generation and detection
- Parameter estimation of the generalized Pareto distribution. I
- Parameter estimation of the generalized Pareto distribution. II
- Limits to human life span through extreme value theory
- Regression-type analysis for multivariate extreme values
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