Extreme value theory. An introduction.
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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)
- A note on tail dependence regression
- Geometric interpretation of the residual dependence coefficient
- Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
- A nonparametric estimator for the conditional tail index of Pareto-type distributions
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- Analysis of adaptive walks on NK fitness landscapes with different interaction schemes
- Records and sequences of records from random variables with a linear trend
- A local moment type estimator for the extreme value index in regression with random covariates
- On the Performance of the Fluctuation Test for Structural Change
- Multivariate moment based extreme value index estimators
- A method of moments estimator of tail dependence
- Estimating failure probabilities
- Sparse regular variation
- Functional regular variation of Lévy-driven multivariate mixed moving average processes
- Conditional limits of \(W_{p}\) scale mixture distributions
- Understanding heavy tails in a bounded world or, is a truncated heavy tail heavy or not?
- A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
- Volatility occupation times
- Regularly varying measures on metric spaces: hidden regular variation and hidden jumps
- Properties of second-order regular variation and expansions for risk concentration
- Spatial risk measures for max-stable and max-mixture processes
- Estimation of high conditional quantiles using the Hill estimator of the tail index
- The extremogram: a correlogram for extreme events
- Conditioning on an extreme component: model consistency with regular variation on cones
- Diversification limit of quantiles under dependence uncertainty
- Extremes of independent stochastic processes: a point process approach
- Detecting tail behavior: mean excess plots with confidence bounds
- Tail product-limit process for truncated data with application to extreme value index estimation
- Kernel estimation of the tail index of a right-truncated Pareto-type distribution
- A hierarchical model for serially-dependent extremes: a study of heat waves in the western US
- Second-order properties of tail probabilities of sums and randomly weighted sums
- Approximate Bayesian computing for spatial extremes
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- The Gumbel test and jumps in the volatility process
- Greedy adaptive walks on a correlated fitness landscape
- Tail dependence measure for examining financial extreme co-movements
- A central limit theorem for functions of stationary max-stable random fields on \(\mathbb{R}^d\)
- Risk concentration and diversification: second-order properties
- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
- A Lynden-Bell integral estimator for extremes of randomly truncated data
- The asymptotic behavior of a counting process in the max-scheme. A discrete case
- Kernel regression with Weibull-type tails
- Bias reduction for high quantiles
- One improvement of the law of the iterated logarithm for the maximum scheme
- A discussion on mean excess plots
- A moment estimator for the conditional extreme-value index
- Exact tail asymptotics in bivariate scale mixture models
- Estimation of the conditional tail index using a smoothed local Hill estimator
- Inference for intermediate Haezendonck-Goovaerts risk measure
- Semi-parametric tail inference through probability-weighted moments
- Efficient estimation and particle filter for max-stable processes
- Living on the multidimensional edge: Seeking hidden risks using regular variation
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- On using extreme values to detect global stability thresholds in multi-stable systems: the case of transitional plane Couette flow
- Extreme value analysis of actuarial risks: estimation and model validation
- Spatial risk measures and applications to max-stable processes
- Functional kernel estimators of large conditional quantiles
- Weak limits for exploratory plots in the analysis of extremes
- Empirical likelihood method for intermediate quantiles
- On convergence of extremes under power normalization
- Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
- Approximation and estimation of very small probabilities of multivariate extreme events
- Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
- Weak properties and robustness of t-Hill estimators
- On an improvement of Hill and some other estimators
- Asymptotically unbiased estimation of the second order tail parameter
- Parametric tail copula estimation and model testing
- Strong mixing properties of max-infinitely divisible random fields
- Bias reduction in kernel tail index estimation for randomly truncated Pareto-type data
- Rates of convergence of lognormal extremes under power normalization
- Foreign-currency interest-rate swaps in asset-liability management for insurers
- Asymptotic normality of location invariant heavy tail index estimator
- A location-invariant non-positive moment-type estimator of the extreme value index
- Asymptotic and finite sample properties of Hill-type estimators in the presence of errors in observations
- Local robust and asymptotically unbiased estimation of conditional Pareto-type tails
- Extreme value behavior of aggregate dependent risks
- Second-order properties of risk concentrations without the condition of asymptotic smoothness
- Freezing and decorated Poisson point processes
- Discussion: ``A significance test for the lasso
- Asymptotic behavior of maxima of independent random variables. Discrete case
- On generalized max-linear models in max-stable random fields
- Conditional limit results for type I polar distributions
- Expansions for the distribution of the maximum from distributions with a power tail when a trend is present
- Quasi-stationary distributions and Yaglom limits of self-similar Markov processes
- The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
- A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes
- Jump tails, extreme dependencies, and the distribution of stock returns
- Asymptotic behavior of a counting process in the maximum scheme
- The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes
- Interval estimation of the tail index of a GARCH(1,1) model
- Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
- Semi-parametric probability-weighted moments estimation revisited
- Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
- The second-order version of Karamata's theorem with applications
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
- A multivariate piecing-together approach with an application to operational loss data
- The harmonic moment tail index estimator: asymptotic distribution and robustness
- Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
- Modeling extreme values of processes observed at irregular time steps: application to significant wave height
- A counting process in the max-scheme
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