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)- An estimator of the stable tail dependence function based on the empirical beta copula
- Extreme value estimation for discretely sampled continuous processes
- Processes of \(r^{th}\) largest
- Existence and consistency of the maximum likelihood estimator for the extreme value index
- CAT bond pricing under a product probability measure with pot risk characterization
- Scaling of high-quantile estimators
- On the Marcinkiewicz-Zygmund strong laws for arbitrary dependent sequences
- A characterization of Bayesian robustness for a normal location parameter
- On the estimation of the variability in the distribution tail
- Efficient nonparametric estimation for skewed distributions
- Bayesian quantiles of extremes
- Asymptotics for the partial sum and its maximum of dependent random variables
- Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
- Extreme value theory with operator norming
- On procedures for testing the equivalence of distribution tails
- Particle filtering for Gumbel‐distributed daily maxima of methane and nitrous oxide
- Inference for extremal regression with dependent heavy-tailed data
- Risk concentration under second order regular variation
- On tests for distinguishing distribution tails
- Non-linear models for extremal dependence
- Analogues of classical goodness-of-fit tests for distribution tails
- On tests to distinguish distribution tails invariant with respect to the scale parameter
- A new weighted quantile regression
- On generalized max-linear models and their statistical interpolation
- scientific article; zbMATH DE number 1795844 (Why is no real title available?)
- On the statistical properties and tail risk of violent conflicts
- Beyond lognormal inequality: the Lorenz flow structure
- Extreme value analysis for progressively type-II censored order statistics
- Strong convergence bound of the Pareto index estimator under right censoring
- Nonparametric asymptotic confidence intervals for extreme quantiles
- Statistical testing of bounded rationality with applications to the newsvendor model
- New kernel estimators of the hazard ratio and their asymptotic properties
- Stochastic derivative estimation for max-stable random fields
- Trends in Extreme Value Indices
- On the generalized extended exponential-Weibull distribution: properties and different methods of estimation
- Optimal stopping of a random sequence with unknown distribution
- Space-time max-stable models with spectral separability
- Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend
- Estimating the probability of a rare event via elliptical copulas
- scientific article; zbMATH DE number 1959514 (Why is no real title available?)
- Estimation of the Pareto and related distributions – A reference-intrinsic approach
- L-moments of the Birnbaum-Saunders distribution and its extreme value version: estimation, goodness of fit and application to earthquake data
- Extremal quantile autoregression for heavy-tailed time series
- Estimating the historical and future probabilities of large terrorist events
- Bias reduced peaks over threshold tail estimation
- Ergodic decompositions of stationary max-stable processes in terms of their spectral functions
- Discussion of ``Estimating the historical and future probabilities of large terrorist events by Aaron Clauset and Ryan Woodard
- Some bounds for the expectations of functions on order statistics and their applications
- Subsampling extremes: from block maxima to smooth tail estimation
- Extreme value estimation of the conditional risk premium in reinsurance
- 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
- An algorithm of nonparametric quantile regression
- Local asymptotic normality in \(\delta\) of standard generalized Pareto processes
- The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
- Strong mixing properties of max-infinitely divisible random fields
- On the residual dependence index of elliptical distributions
- It was 30 years ago today when Laurens de Haan went the multivariate way
- Detecting a conditional extreme value model
- A method of moments estimator of tail dependence in meta-elliptical models
- A method of moments estimator of tail dependence
- Estimation of the third-order parameter in extreme value statistics
- Local asymptotic normality in a stationary model for spatial extremes
- Eigenvalue order statistics for random Schrödinger operators with doubly-exponential tails
- Conditional limit results for type I polar distributions
- On generalized max-linear models in max-stable random fields
- On the association of sum- and max-stable processes
- Efficient estimation and particle filter for max-stable processes
- Modeling of censored bivariate extremal events
- 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
- The multivariate piecing-together approach revisited
- Functional regular variation of Lévy-driven multivariate mixed moving average processes
- Foreign-currency interest-rate swaps in asset-liability management for insurers
- Expansions for the distribution of the maximum from distributions with a power tail when a trend is present
- A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes
- Estimating failure probabilities
- On the rate of convergence of STSD extremes
- 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
- Asymptotic normality of location invariant heavy tail index estimator
- scientific article; zbMATH DE number 2188733 (Why is no real title available?)
- Revisiting the Edge, Ten Years On
- Hidden regular variation and detection of hidden risks
- Statistical models and methods for dependence in insurance data
- On an improvement of Hill and some other estimators
- Jump tails, extreme dependencies, and the distribution of stock returns
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- Smoothed jackknife empirical likelihood method for tail copulas
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)
