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)- Parameter estimation of the generalized Pareto distribution. I
- Parameter estimation of the generalized Pareto distribution. II
- A general estimator for the right endpoint with an application to supercentenarian women's records
- A note on tail dependence regression
- Geometric interpretation of the residual dependence coefficient
- Regression-type analysis for multivariate extreme values
- The harmonic moment tail index estimator: asymptotic distribution and robustness
- Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
- Maximum likelihood estimation of extreme value index for irregular cases
- Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
- Inference for extremal regression with dependent heavy-tailed data
- Modeling extreme values of processes observed at irregular time steps: application to significant wave height
- Causal discovery in heavy-tailed models
- Efficient likelihood-based inference for the generalized Pareto distribution
- Conditional marginal expected shortfall
- Extremal clustering in non-stationary random sequences
- Threshold selection in univariate extreme value analysis
- Asymptotics of the convex hull of spherically symmetric samples
- A counting process in the max-scheme
- Composite likelihood methods for histogram-valued random variables
- Estimation of the expected shortfall given an extreme component under conditional extreme value model
- Statistical models and methods for dependence in insurance data
- Kernel estimators for the second order parameter in extreme value statistics
- Limits to human life span through extreme value theory
- Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation
- Pseudo-convex mixtures generated by shape-extended stable distributions for extremes
- The pairwise beta distribution: A flexible parametric multivariate model for extremes
- Empirical likelihood based confidence intervals for the tail index when \({\gamma}<-1/2\)
- Conditional extreme value models: fallacies and pitfalls
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
- On the maximum domain of attraction for transformations of a normal random variable
- Extreme value analysis without the largest values: what can be done?
- Fast automatic smoothing for generalized additive models
- Inference of high quantiles of a heavy-tailed distribution from block data
- Domains of attraction of the random vector (X, X 2) and applications
- A nonparametric estimator for the conditional tail index of Pareto-type distributions
- scientific article; zbMATH DE number 2122818 (Why is no real title available?)
- Non-stationary dependence structures for spatial extremes
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall
- A limit theorem for Bernoulli convolutions and the \(\Phi \)-variation of functions in the Takagi class
- Corrected-Hill versus partially reduced-bias value-at-risk estimation
- Location invariant heavy tail index estimation with block method
- Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations
- Modeling of censored bivariate extremal events
- A local moment type estimator for the extreme value index in regression with random covariates
- Analysis of adaptive walks on NK fitness landscapes with different interaction schemes
- Records and sequences of records from random variables with a linear trend
- Extremal local linear quantile regression for nonlinear dependent processes
- Extreme dependence models based on event magnitude
- Geometric ergodicity for some space-time max-stable Markov chains
- On extremal indices greater than one for a scheme of series
- When does the mean excess plot look linear?
- Max-stable processes for modeling extremes observed in space and time
- Modeling Spatial Processes with Unknown Extremal Dependence Class
- Smoothed jackknife empirical likelihood method for tail copulas
- 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
- Estimation of the Pareto and related distributions – A reference-intrinsic approach
- Extreme values for the waiting time in large fork-join queues
- Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions
- Nonparametric estimation of conditional marginal excess moments
- Bernstein-von Mises theorem for the Pitman-Yor process of nonnegative type
- Improved inference on risk measures for univariate extremes
- The generalized Pareto process; with a view towards application and simulation
- Some statistical issues in climate science
- Particle filtering for Gumbel‐distributed daily maxima of methane and nitrous oxide
- On distributionally robust extreme value analysis
- Generalized Pareto copulas: a key to multivariate extremes
- Size-biased permutation of a finite sequence with independent and identically distributed terms
- Second-order expansions of the risk concentration based on CTE
- Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
- Geostatistics of dependent and asymptotically independent extremes
- The expected payoff to Internet auctions
- Extremal theory for spectrum of random discrete Schrödinger operator. II. Distributions with heavy tails
- Spatial hierarchical modeling of precipitation extremes from a regional climate model
- Two-sided variable inspection plans for arbitrary continuous populations with unknown distribution
- The tail empirical process for long memory stochastic volatility models with leverage
- A family of random sup-measures with long-range dependence
- Fitting time series with heavy tails and strong time dependence
- On the Performance of the Fluctuation Test for Structural Change
- Estimation of expectile-based marginal expected shortfall under asymptotic independence
- Total positivity in multivariate extremes
- Tail inverse regression: dimension reduction for prediction of extremes
- On max-stable processes and the functional D-norm
- The Goldie equation. III: Homomorphisms from functional equations
- Multivariate generalized Pareto distributions: parametrizations, representations, and properties
- Local estimation of the second-order parameter in extreme value statistics and local unbiased estimation of the tail index
- Estimation in Nonparametric Regression with Non-Regular Errors
- Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known
- Second-order tail asymptotics of deflated risks
- Box-Cox transformation on the estimation of extreme value index (EVI) and high quantiles for heavy-tailed distributions under dependence serials
- Estimation of the extreme value index in a censorship framework: asymptotic and finite sample behavior
- Dimension reduction in multivariate extreme value analysis
- The importance of the local structure of fractal aggregates
- Extreme behaviors of the tail Gini-type variability measures
- Measuring risk contagion in financial networks with CoVaR
- Extremal theory for long range dependent infinitely divisible processes
- CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
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)
