Extreme value theory. An introduction.
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Publication:5485944
zbMATH Open1101.62002MaRDI QIDQ5485944FDOQ5485944
Authors:
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)
- Conditional extreme value models: fallacies and pitfalls
- Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations
- Extremal theory for spectrum of random discrete Schrödinger operator. II. Distributions with heavy tails
- 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
- A test procedure for detecting super-heavy tails
- Extremes of projections of functional time series on data-driven basis systems
- Convergence of extreme values of Poisson point processes at small times
- 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
- Semi-parametric second-order reduced-bias high quantile estimation
- On the estimation of extreme directional multivariate quantiles
- On the modeling of size distributions when technologies are complex
- High quantile regression for extreme events
- Conditional limiting distribution of beta-independent random vectors
- Extreme $$L^p$$-quantile Kernel Regression
- Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
- Probabilities of concurrent extremes
- 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
- On functional records and champions
- Extremal dependence analysis of network sessions
- 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
- 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
- Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
- Review of testing issues in extremes: in honor of Professor Laurens de Haan
- A class of location invariant estimators for heavy tailed distributions
- A Bayesian approach to extended models for exceedance
- 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
- Kernel estimation of extreme regression risk measures
- Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions
- 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
- Parameter estimation of the generalized Pareto distribution. I
- Parameter estimation of the generalized Pareto distribution. II
- Regression-type analysis for multivariate extreme values
- Title not available (Why is that?)
- Kernel estimators for the second order parameter in extreme value statistics
- The pairwise beta distribution: A flexible parametric multivariate model for extremes
- Modeling Spatial Processes with Unknown Extremal Dependence Class
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall
- Non-stationary dependence structures for spatial extremes
- Extreme dependence models based on event magnitude
- Max-stable processes for modeling extremes observed in space and time
- Gaussian approximation to the extreme value index estimator of a heavy-tailed distribution under random censoring
- A weighted mean excess function approach to the estimation of Weibull-type tails
- A limiting distribution for maxima of discrete stationary triangular arrays with an application to risk due to avalanches
- Generalized Pareto copulas: a key to multivariate extremes
- The generalized Pareto process; with a view towards application and simulation
- CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
- Geostatistics of dependent and asymptotically independent extremes
- On max-stable processes and the functional \(D\)-norm
- Robust and bias-corrected estimation of the coefficient of tail dependence
- The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes
- Asymptotic models and inference for extremes of spatio-temporal data
- New estimators of the extreme value index under random right censoring, for heavy-tailed distributions
- Weak convergence of multivariate partial maxima processes
- Extreme quantile estimation for \(\beta\)-mixing time series and applications
- Second order regular variation and conditional tail expectation of multiple risks
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Estimating extreme bivariate quantile regions
- Weibull tail-distributions revisited: A new look at some tail estimators
- Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
- A significance test for the lasso
- On the estimation and application of max-stable processes
- On spatial extremes: with application to a rainfall problem
- Are extreme value estimation methods useful for network data?
- Semi-parametric estimation of multivariate extreme expectiles
- Asymptotically distribution-free goodness-of-fit testing for tail copulas
- Goodness-of-fit tests for a heavy tailed distribution
- The adaptive and the thresholded Lasso for potentially misspecified models (and a lower bound for the Lasso)
- Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
- Discussion: ``A significance test for the lasso
- Extremes of weighted Dirichlet arrays
- Bias correction in multivariate extremes
- Likelihood Inference for Multivariate Extreme Value Distributions Whose Spectral Vectors have known Conditional Distributions
- Detecting breaks in the dependence of multivariate extreme-value distributions
- Passage time and fluctuation calculations for subexponential Lévy processes
- Tail expectile process and risk assessment
- Bias correction in extreme value statistics with index around zero
- Bayesian Dirichlet mixture model for multivariate extremes: a re-parametrization
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