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)
- 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
- A goodness-of-fit test for heavy tailed distributions with unknown parameters and its application to simulated precipitation extremes in the Euro-Mediterranean region
- Estimation of extreme conditional quantiles through an extrapolation of intermediate regression quantiles
- Extreme quantile estimation for \(\beta\)-mixing time series and applications
- Second order regular variation and conditional tail expectation of multiple risks
- Minima and maxima of elliptical arrays and spherical processes
- 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
- Transition kernels and the conditional extreme value model
- On spatial extremes: with application to a rainfall problem
- Are extreme value estimation methods useful for network data?
- Fat tails, VaR and subadditivity
- 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
- Multivariate extremes of generalized skew-normal distributions
- Pitfalls in using Weibull tailed distributions
- 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
- Asymptotic comparison of the mixed moment and classical extreme value index estimators
- Nonparametric estimation of the conditional tail copula
- Estimating extreme quantiles under random truncation
- Estimation of Extreme Conditional Quantiles Through Power Transformation
- Extremal behavior of Archimedean copulas
- Conditional sampling for spectrally discrete max-stable random fields
- Kernel estimators of extreme level curves
- A general approach to generate random variates for multivariate copulae
- The extent of the maximum likelihood estimator for the extreme value index
- Estimation of extremes for Weibull-tail distributions in the presence of random censoring
- Asymptotic independence for unimodal densities
- On the distribution of a max-stable process conditional on max-linear functionals
- A hierarchical max-stable spatial model for extreme precipitation
- A continuous updating weighted least squares estimator of tail dependence in high dimensions
- A simple generalisation of the Hill estimator
- Estimation and uncertainty quantification for extreme quantile regions
- Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
- Maxima of independent, non-identically distributed Gaussian vectors
- On large deviations of extremes under power normalization
- On kernel smoothing for extremal quantile regression
- Limit laws for random vectors with an extreme component
- Rejoinder: ``A significance test for the lasso
- Two-stage data segmentation permitting multiscale change points, heavy tails and dependence
- Generalized Kernel Estimators for the Weibull-Tail Coefficient
- Measures of serial extremal dependence and their estimation
- Entropic approach to multiscale clustering analysis
- Estimation of extreme risk regions under multivariate regular variation
- Limiting distributions of extreme order statistics under power normalization and random index
- Multivariate extreme models based on underlying skew-\(t\) and skew-normal distributions
- Extremes on river networks
- Approximation of high quantiles from intermediate quantiles
- Extremal \(t\) processes: elliptical domain of attraction and a spectral representation
- Bayesian model averaging for multivariate extremes
- 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
- Multivariate regular variation on cones: application to extreme values, hidden regular variation and conditioned limit laws
- Stationary max-stable fields associated to negative definite functions
- Efficient simulation for dependent rare events with applications to extremes
- An M-estimator for tail dependence in arbitrary dimensions
- Mixed moment estimator and location invariant alternatives
- Statistical modeling of spatial extremes
- Semi-parametric estimation for heavy tailed distributions
- Bias-corrected estimation of stable tail dependence function
- Multivariate modelling of spatial extremes based on copulas
- Limit theorems for empirical processes of cluster functionals
- Convex geometry of max-stable distributions
- Tail asymptotics under beta random scaling
- Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
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