Extreme value theory. An introduction.
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Publication:5485944
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)
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- Discussion: ``A significance test for the lasso
- Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
- On the Performance of the Fluctuation Test for Structural Change
- 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
- Parametric tail copula estimation and model testing
- Pitfalls in using Weibull tailed distributions
- A moment estimator for the conditional extreme-value index
- 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
- Local robust and asymptotically unbiased estimation of conditional Pareto-type tails
- Asymptotic behavior of a counting process in the maximum scheme
- Weak limits for exploratory plots in the analysis of extremes
- Estimation of high conditional quantiles using the Hill estimator of the tail index
- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
- Asymptotic behavior of maxima of independent random variables. Discrete case
- Spatial risk measures and applications to max-stable processes
- Extreme value behavior of aggregate dependent risks
- A Lynden-Bell integral estimator for extremes of randomly truncated data
- Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
- Functional kernel estimators of large conditional quantiles
- Empirical likelihood method for intermediate quantiles
- Interval estimation of the tail index of a GARCH(1,1) model
- On kernel smoothing for extremal quantile regression
- Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
- On convergence of extremes under power normalization
- Rates of convergence of lognormal extremes under power normalization
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Living on the multidimensional edge: Seeking hidden risks using regular variation
- Laws of small numbers: extremes and rare events.
- Second-order properties of risk concentrations without the condition of asymptotic smoothness
- Bias reduction in kernel tail index estimation for randomly truncated Pareto-type data
- A nonparametric estimator for the conditional tail index of Pareto-type distributions
- The Gumbel test and jumps in the volatility process
- The extremogram: a correlogram for extreme events
- Regularly varying measures on metric spaces: hidden regular variation and hidden jumps
- Limit laws for random vectors with an extreme component
- Greedy adaptive walks on a correlated fitness landscape
- Tail dependence measure for examining financial extreme co-movements
- Measures of serial extremal dependence and their estimation
- Maxima of independent, non-identically distributed Gaussian vectors
- On large deviations of extremes under power normalization
- A hierarchical model for serially-dependent extremes: a study of heat waves in the western US
- The asymptotic behavior of a counting process in the max-scheme. A discrete case
- Kernel regression with Weibull-type tails
- Second-order properties of tail probabilities of sums and randomly weighted sums
- Sparse regular variation
- Extreme value distributions
- Transition kernels and the conditional extreme value model
- Risk concentration and diversification: second-order properties
- Inference for intermediate Haezendonck-Goovaerts risk measure
- The harmonic moment tail index estimator: asymptotic distribution and robustness
- Minima and maxima of elliptical arrays and spherical processes
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Semi-parametric tail inference through probability-weighted moments
- Multivariate regular variation on cones: application to extreme values, hidden regular variation and conditioned limit laws
- scientific article; zbMATH DE number 193528 (Why is no real title available?)
- Conditioning on an extreme component: model consistency with regular variation on cones
- On using extreme values to detect global stability thresholds in multi-stable systems: the case of transitional plane Couette flow
- Semi-parametric probability-weighted moments estimation revisited
- Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
- Rejoinder: ``A significance test for the lasso
- Kernel estimators of extreme level curves
- Limiting distributions of extreme order statistics under power normalization and random index
- Analysis of adaptive walks on NK fitness landscapes with different interaction schemes
- A local moment type estimator for the extreme value index in regression with random covariates
- Records and sequences of records from random variables with a linear trend
- Extreme value analysis of actuarial risks: estimation and model validation
- Modeling extreme values of processes observed at irregular time steps: application to significant wave height
- Approximate Bayesian computing for spatial extremes
- A counting process in the max-scheme
- One improvement of the law of the iterated logarithm for the maximum scheme
- Bias reduction for high quantiles
- Estimation of the conditional tail index using a smoothed local Hill estimator
- Bias correction in multivariate extremes
- Nonparametric estimation of the conditional tail copula
- Generalized Pareto copulas: a key to multivariate extremes
- Are extreme value estimation methods useful for network data?
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall
- Estimating extreme quantiles under random truncation
- The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes
- Mixed moment estimator and location invariant alternatives
- Stationary max-stable fields associated to negative definite functions
- Non-stationary dependence structures for spatial extremes
- Statistical modeling of spatial extremes
- Two-stage data segmentation permitting multiscale change points, heavy tails and dependence
- Likelihood Inference for Multivariate Extreme Value Distributions Whose Spectral Vectors have known Conditional Distributions
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- Discussion: ``A significance test for the lasso
- scientific article; zbMATH DE number 2122818 (Why is no real title available?)
- The generalized Pareto process; with a view towards application and simulation
- Extremal \(t\) processes: elliptical domain of attraction and a spectral representation
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