Extreme Value Theory and Statistics of Univariate Extremes: A Review

DOI10.1111/insr.12058OpenAlexW1501278672MaRDI QIDQ6064607

M. Ivette Gomes, Armelle Guillou

Publication date: 10 November 2023

Published in: International Statistical Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/insr.12058

zbMATH Keywords

statistics of univariate extremestesting issuesextreme value index and tail parametersparametric and semi-parametric approaches

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (29)

Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application ⋮ Estimation for Extreme Conditional Quantiles of Functional Quantile Regression ⋮ Competitive estimation of the extreme value index ⋮ On tests to distinguish distribution tails invariant with respect to the scale parameter ⋮ Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation ⋮ Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework ⋮ On the comparison of several classical estimators of the extreme value index ⋮ On automatic bias reduction for extreme expectile estimation ⋮ A class of semiparametric tail index estimators and its applications ⋮ Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions ⋮ Corrected-Hill versus partially reduced-bias value-at-risk estimation ⋮ Tail dependence and smoothness of time series ⋮ Reduced bias estimation of the shape parameter of the log-logistic distribution ⋮ Modelling extremal data ⋮ Semi-parametric regression estimation of the tail index ⋮ Estimation of extreme quantiles from heavy-tailed distributions in a location-dispersion regression model ⋮ ExpectHill estimation, extreme risk and heavy tails ⋮ An enhanced method for tail index estimation under missingness ⋮ On the measurement and treatment of extremes in time series ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ On Tests for Distinguishing Distribution Tails ⋮ Comparison of the robust parameters estimation methods for the two-parameters Lomax distribution ⋮ Threshold selection and trimming in extremes ⋮ Fitting phase-type scale mixtures to heavy-tailed data and distributions ⋮ Improved estimation of the extreme value index using related variables ⋮ Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model ⋮ Estimation of a scale second-order parameter related to the PORT methodology ⋮ The memoryless property and moments of the Gumbel distribution ⋮ Lehmer's mean-of-order- p extreme value index estimation: a simulation study and applications

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