domain of attractionexponent measureorder statisticsPoisson point processesquantile estimationspectral measuretail indextail probability estimation
Research exposition (monographs, survey articles) pertaining to statistics (62-02) Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)
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(only showing first 100 items - show all)- Existence and consistency of the maximum likelihood estimator for the extreme value index
- A method of moments estimator of tail dependence
- Asymptotic properties of type I elliptical random vectors
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- It was 30 years ago today when Laurens de Haan went the multivariate way
- Bootstrap and empirical likelihood methods in extremes
- Review of testing issues in extremes: in honor of Professor Laurens de Haan
- Convex geometry of max-stable distributions
- Multivariate extremes of generalized skew-normal distributions
- Asymptotics for Kotz type III elliptical distributions
- Jackknife method for intermediate quantiles
- From extended regular variation to regular variation with application in extreme value statis\-tics
- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
- Stationary max-stable fields associated to negative definite functions
- A continuous updating weighted least squares estimator of tail dependence in high dimensions
- Bayesian model averaging for multivariate extremes
- A simple generalisation of the Hill estimator
- Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
- Tail risk inference via expectiles in heavy-tailed time series
- Testing for (in)finite moments
- Limit theorems for Betti numbers of extreme sample clouds with application to persistence barcodes
- On the statistical properties and tail risk of violent conflicts
- Beyond lognormal inequality: the Lorenz flow structure
- Bayesian Dirichlet mixture model for multivariate extremes: a re-parametrization
- Extreme quantile estimation for \(\beta\)-mixing time series and applications
- Estimation of risk measures in energy portfolios using modern copula techniques
- Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
- Extreme value analysis of actuarial risks: estimation and model validation
- Processes of \(r^{th}\) largest
- Extreme value estimation for discretely sampled continuous processes
- An estimator of the stable tail dependence function based on the empirical beta copula
- Nonparametric estimation of extreme conditional quantiles with functional covariate
- Stochastic tail index model for high frequency financial data with Bayesian analysis
- Second-order asymptotics on distributions of maxima of bivariate elliptical arrays
- Bayesian estimation of the tail index of a heavy tailed distribution under random censoring
- Extremes of q-Ornstein-Uhlenbeck processes
- Inference for asymptotically independent samples of extremes
- Natural selection as coarsening
- Universality classes of interaction structures for NK fitness landscapes
- \(k\)th-order Markov extremal models for assessing heatwave risks
- Detecting distributional changes in samples of independent block maxima using probability weighted moments
- A supermartingale argument for characterizing the functional Hill process weak law for small parameters
- High quantile regression for extreme events
- Spatial risk measures and applications to max-stable processes
- Conditional extreme value models: fallacies and pitfalls
- Hidden regular variation under full and strong asymptotic dependence
- Bias-corrected and robust estimation of the bivariate stable tail dependence function
- Multivariate moment based extreme value index estimators
- From concentration profiles to concentration maps. New tools for the study of loss distributions
- Kernel estimation of extreme regression risk measures
- Empirical likelihood based inference for conditional Pareto-type tail index
- On tail dependence coefficients of transformed multivariate Archimedean copulas
- Efficient simulation for dependent rare events with applications to extremes
- Robust bounds in multivariate extremes
- A Bayesian approach to extended models for exceedance
- An asymptotic characterization of hidden tail credit risk with actuarial applications
- Max-linear models on directed acyclic graphs
- Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
- Leading the field: fortune favors the bold in Thurstonian choice models
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Second-order asymptotics of the risk concentration of a portfolio with deflated risks
- Geometric ergodicity for some space-time max-stable Markov chains
- On extremal indices greater than one for a scheme of series
- On generalized log-Moyal distribution: a new heavy tailed size distribution
- Multivariate generalized Pareto distributions: parametrizations, representations, and properties
- On the domain of attraction of a Tracy-Widom law with applications to testing multiple largest roots
- Risk contagion under regular variation and asymptotic tail independence
- Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations
- Tail dimension reduction for extreme quantile estimation
- Multivariate peaks over thresholds models
- Multivariate order statistics: the intermediate case
- Editorial: Special issue on extreme theory and application. II
- Statistical testing of bounded rationality with applications to the newsvendor model
- An improved method for forecasting spare parts demand using extreme value theory
- Extremes for multivariate expectiles
- Kernel estimators of extreme level curves
- Empirical likelihood confidence intervals for the endpoint of a distribution function
- Extreme value statistics for censored data with heavy tails under competing risks
- Is human life limited or unlimited? (A discussion of the paper by Holger Rootzén and Dmitrii Zholud)
- ABC model selection for spatial extremes models applied to south Australian maximum temperature data
- Weighted moment estimators for the second order scale parameter
- Interval estimation of the tail index of a GARCH(1,1) model
- Estimation of the third-order parameter in extreme value statistics
- Approximating the conditional density given large observed values via a multivariate extremes framework, with application to environmental data
- Weak limits for exploratory plots in the analysis of extremes
- Estimating an endpoint with high-order moments
- Functional kernel estimators of large conditional quantiles
- Testing for a generalized Pareto process
- A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
- The adaptive and the thresholded Lasso for potentially misspecified models (and a lower bound for the Lasso)
- The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes
- Trimmed Lévy processes and their extremal components
- Markov chain analysis of evolutionary algorithms on OneMax function -- from coupon collector's problem to (1 + 1) EA
- A microfoundation for normalized CES production functions with factor-augmenting technical change
- A family of random sup-measures with long-range dependence
- Spectral tail processes and max-stable approximations of multivariate regularly varying time series
- Testing for a \(\delta \)-neighborhood of a generalized Pareto copula
- Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
- Introduction to extreme value theory: applications to risk analysis and management
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