Extreme value theory. An introduction.
From MaRDI portal
Publication:5485944
zbMATH Open1101.62002MaRDI QIDQ5485944FDOQ5485944
Authors:
Publication date: 5 September 2006
Recommendations
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
- Asymptotics of the convex hull of spherically symmetric samples
- Second-order expansions of the risk concentration based on CTE
- Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
- Spatial hierarchical modeling of precipitation extremes from a regional climate model
- Discussion: ``A significance test for the lasso
- Discussion: ``A significance test for the lasso
- Discussion: ``A significance test for the lasso
- Discussion: ``A significance test for the lasso
- Estimation in Nonparametric Regression with Non-Regular Errors
- Size-biased permutation of a finite sequence with independent and identically distributed terms
- The expected payoff to Internet auctions
- Second-order tail asymptotics of deflated risks
- Estimation of the extreme value index in a censorship framework: asymptotic and finite sample behavior
- Extremal theory for long range dependent infinitely divisible processes
- On the block maxima method in extreme value theory: PWM estimators
- Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known
- On the study of extremes with dependent random right-censoring
- Convergence properties of Kemp's \(q\)-binomial distribution
- Jackknife method for intermediate quantiles
- Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions
- Toward a copula theory for multivariate regular variation
- Multivariate tail estimation with application to analysis of CoVaR
- Weakening the independence assumption on polar components: limit theorems for generalized elliptical distributions
- EVT-based estimation of risk capital and convergence of high quantiles
- POT-based estimation of the renewal function of interoccurrence times of heavy-tailed risks
- Large common value auctions with risk averse bidders
- A hierarchical max-infinitely divisible spatial model for extreme precipitation
- Inference for Archimax copulas
- Dispersion models for extremes
- On almost sure max-limit theorems of complete and incomplete samples from stationary sequences
- Tail asymptotic expansions for \(L\)-statistics
- Asymptotic behaviour of multivariate default probabilities and default correlations under stress
- Adaptive estimation of heavy right tails: resampling-based methods in action
- Asymptotics of random contractions
- Estimating generalized state density of near-extreme events and its applications in analyzing stock data
- Upper bounds on value-at-risk for the maximum portfolio loss
- Heavy tailed capital incomes: Zenga index, statistical inference, and ECHP data analysis
- Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model
- Extreme values for characteristic radii of a Poisson-Voronoi tessellation
- Estimating the conditional tail expectation in the case of heavy-tailed losses
- A class of semi-parametric probability weighted moment estimators
- ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS
- Nonparametric tests for constant tail dependence with an application to energy and finance
- Risk concentration based on expectiles for extreme risks under FGM copula
- On the use of \(L\)-functionals in regression models
This page was built for publication: Extreme value theory. An introduction.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5485944)
