Extreme value theory. An introduction.
From MaRDI portal
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)
Recommendations
Cited in
(only showing first 100 items - show all)- 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
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- 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
- Detecting breaks in the dependence of multivariate extreme-value distributions
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Weibull tail-distributions revisited: A new look at some tail estimators
- Estimating extreme bivariate quantile regions
- CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
- A general approach to generate random variates for multivariate copulae
- Efficient simulation for dependent rare events with applications to extremes
- Bayesian model averaging for multivariate extremes
- Semi-parametric estimation for heavy tailed distributions
- An M-estimator for tail dependence in arbitrary dimensions
- Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
- Tail risk inference via expectiles in heavy-tailed time series
- Extremes on river networks
- Testing for (in)finite moments
- Semi-parametric estimation of multivariate extreme expectiles
- Limit theorems for empirical processes of cluster functionals
- Generalized Kernel Estimators for the Weibull-Tail Coefficient
- Asymptotic independence for unimodal densities
- Extremes of weighted Dirichlet arrays
- Convex geometry of max-stable distributions
- Extremal behavior of Archimedean copulas
- Tail asymptotics under beta random scaling
- Multivariate extreme models based on underlying skew-\(t\) and skew-normal distributions
- A continuous updating weighted least squares estimator of tail dependence in high dimensions
- Asymptotically distribution-free goodness-of-fit testing for tail copulas
- Geostatistics of dependent and asymptotically independent extremes
- Asymptotic models and inference for extremes of spatio-temporal data
- Extreme quantile estimation for \(\beta\)-mixing time series and applications
- An introduction to statistical modeling of extreme values
- Asymptotic comparison of the mixed moment and classical extreme value index estimators
- Conditional sampling for spectrally discrete max-stable random fields
- A simple generalisation of the Hill estimator
- A hierarchical max-stable spatial model for extreme precipitation
- Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
- Estimation and uncertainty quantification for extreme quantile regions
- Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
- Estimation of Extreme Conditional Quantiles Through Power Transformation
- On the distribution of a max-stable process conditional on max-linear functionals
- Bias correction in extreme value statistics with index around zero
- Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
- Kernel estimators for the second order parameter in extreme value statistics
- A significance test for the lasso
- New estimators of the extreme value index under random right censoring, for heavy-tailed distributions
- Extreme dependence models based on event magnitude
- Bayesian Dirichlet mixture model for multivariate extremes: a re-parametrization
- Passage time and fluctuation calculations for subexponential Lévy processes
- The pairwise beta distribution: A flexible parametric multivariate model for extremes
- Max-stable processes for modeling extremes observed in space and time
- Tail expectile process and risk assessment
- Bias-corrected estimation of stable tail dependence function
- On the estimation and application of max-stable processes
- Entropic approach to multiscale clustering analysis
- Modeling Spatial Processes with Unknown Extremal Dependence Class
- Second order regular variation and conditional tail expectation of multiple risks
- On spatial extremes: with application to a rainfall problem
- The extent of the maximum likelihood estimator for the extreme value index
- Weak convergence of multivariate partial maxima processes
- On max-stable processes and the functional \(D\)-norm
- Estimation of extreme risk regions under multivariate regular variation
- Gaussian approximation to the extreme value index estimator of a heavy-tailed distribution under random censoring
- Multivariate modelling of spatial extremes based on copulas
- 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
- Goodness-of-fit tests for a heavy tailed distribution
- Robust and bias-corrected estimation of the coefficient of tail dependence
- Approximation of high quantiles from intermediate quantiles
- Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
- The adaptive and the thresholded Lasso for potentially misspecified models (and a lower bound for the Lasso)
- Estimation of extremes for Weibull-tail distributions in the presence of random censoring
- Statistics of Extremes
- Multiplier bootstrap of tail copulas with applications
- Limit infimum results for subsequences of partial sums and random sums of i.i.d. random variables
- Properties of second-order regular variation and expansions for risk concentration
- Multivariate moment based extreme value index estimators
- Modeling multiple risks: hidden domain of attraction
- The distribution of the maximum of the multivariate \(\mathrm{AR}(p)\) and multivariate \(\mathrm{MA}(p)\) processes
- A note on tail dependence regression
- Geometric interpretation of the residual dependence coefficient
- Asymptotic and finite sample properties of Hill-type estimators in the presence of errors in observations
- Extreme value theory and applications. Proceedings of the conference on extreme value theory and applications. Volume 1, Gaithersburg, MD, Maryland, May 1993
- Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data
- On a rapid simulation of the Dirichlet process
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)
