An introduction to statistical modeling of extreme values

Inference from stochastic processes (62M99) Statistics of extreme values; tail inference (62G32) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Cited In (only showing first 100 items - show all)

Generalized dimensions, large deviations and the distribution of rare events
Causal discovery in heavy-tailed models
Assessing failure probability of coastal structures based on probabilistic representation of sea conditions at the structures' location
Efficient likelihood-based inference for the generalized Pareto distribution
Peaks-over-threshold stability of multivariate generalized Pareto distributions
On distributionally robust extreme value analysis
Statistical inference for inter-arrival times of extreme events in bursty time series
Modelling the financial risk associated with U.S. Movie box office earnings
Bayesian optimal design of an avalanche dam using a multivariate numerical avalanche model
Dependence estimation and visualization in multivariate extremes with applications to financial data
A peak-over-threshold search method for global optimization
Sparse representation of multivariate extremes with applications to anomaly detection
A post-processor for fatigue crack growth analysis based on a finite element stress field
Bayesian comparison of different rainfall depth-duration-frequency relationships
Microstructure models and material response by extreme value theory
Limit theorems for Betti numbers of extreme sample clouds with application to persistence barcodes
Likelihood inference for generalized Pareto distribution
Multivariate peaks over thresholds models
Modelling time series when mean and variability both change
Bayesian threshold selection for extremal models using measures of surprise
Practical extreme value modelling of hydrological floods and droughts: a case study
A regionalisation approach for rainfall based on extremal dependence
Topological crackle of heavy-tailed moving average processes
Scaling in the timing of extreme events
Bias and size corrections in extreme value modeling
Software for the analysis of extreme events: The current state and future directions
Bayesian non-parametric signal extraction for Gaussian time series
Extreme event dynamics in the formation of galaxy-sized dark matter structures
Estimates of System Response Maxima by Extreme Value Theory and Surrogate Models
Accounting for choice of measurement scale in extreme value modeling
Simulating flood event sets using extremal principal components
Return level bounds for discrete and continuous random variables
Bootstrap and Other Resampling Methodologies in Statistics of Extremes
A large deviation theory-based analysis of heat waves and cold spells in a simplified model of the general circulation of the atmosphere
Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations
Beta-\(\kappa \) distribution and its application to hydrologic events
Extremal dependence analysis of network sessions
On Pickands coordinates in arbitrary dimensions
Estimation of the risk for an unstable behaviour of feedback systems in the presence of nonlinear distortions
Dynamical similarity and universality of drop size and velocity spectra in sprays
The flood probability distribution tail: How heavy is it?
An efficient algorithm to estimate the potential barrier height from noise-induced escape time data
Introduction to the special issue on the statistical mechanics of climate
Computation of extreme values of time averaged observables in climate models with large deviation techniques
A multivariate extreme value theory approach to anomaly clustering and visualization
Modelling the clustering of extreme events for short-term risk assessment
Asymptotic independence and support detection techniques for heavy-tailed multivariate data
Polynomial power-Pareto quantile function models
Bayesian inference for extremes: accounting for the three extremal types
Approximate Bayesian inference for analysis of spatiotemporal flood frequency data
Review of testing issues in extremes: in honor of Professor Laurens de Haan
On a Minimum Distance Procedure for Threshold Selection in Tail Analysis
Regression models for exceedance data: a new approach
A Bayesian approach to extended models for exceedance
Quality of the Approximation of Ruin Probabilities Regarding to Large Claims
A kappa distribution with a hydrological application
Extreme value correction: a method for correcting optimistic estimations in rule learning
Human life is unlimited -- but short
Parameter estimation of the generalized Pareto distribution. I
Parameter estimation of the generalized Pareto distribution. II
Regression-type analysis for multivariate extreme values
A flexible extreme value mixture model
Title not available (Why is that?)
Threshold selection for extremes under a semiparametric model
A local moment type estimator for the extreme value index in regression with random covariates
Max-stable processes for modeling extremes observed in space and time
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
Geostatistics of dependent and asymptotically independent extremes
Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
Asymptotic models and inference for extremes of spatio-temporal data
Kernel density estimation for heavy-tailed distributions using the champernowne transformation
Statistical post-processing of forecasts for extremes using bivariate Brown-Resnick processes with an application to wind gusts
A default Bayesian approach for regression on extremes
Point process models for novelty detection on spatial point patterns and their extremes
Condensation in the inhomogeneous zero-range process: an interplay between interaction and diffusion disorder
Estimation of spatial max-stable models using threshold exceedances
Extreme Value Distributions for the Skew-Symmetric Family of Distributions
Continuous spatial process models for spatial extreme values
On the estimation and application of max-stable processes
Accounting for the threshold uncertainity in extreme value estimation
Are extreme value estimation methods useful for network data?
Nonparametric estimation of the dependence function for a multivariate extreme value distribution
The size distribution of innovations revisited: an application of extreme value statistics to citation and value measures of patent significance
Time-varying extreme pattern with dynamic models
Multivariate generalized Pareto distributions
Optimal threshold determination based on the mean excess plot
On some properties of the low-dimensional Gumbel perturbations in the perturb-and-MAP model
Asymptotic and bootstrap inference for inequality and poverty measures
A Markov-switching model for heat waves
Income distribution and inequality measurement: the problem of extreme values
High-dimensional parametric modelling of multivariate extreme events
A semiparametric Bayesian approach to extreme value estimation
A hierarchical model for serially-dependent extremes: a study of heat waves in the western US
Risk averse decision making under catastrophic risk
Approximate Bayesian computing for spatial extremes
Modelling extremes of time-dependent data by Markov-switching structures
On the distribution of Pickands coordinates in bivariate EV and GP models
Anticipating Catastrophes through Extreme Value Modelling
Second-order refined peaks-over-threshold modelling for heavy-tailed distributions

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