The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
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Publication:6592005
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- A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- A bootstrap-based method to achieve optimality in estimating the extreme-value index
- A class of asymptotically unbiased semi-parametric estimators of the tail index.
- A class of semi-parametric probability weighted moment estimators
- A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
- A couple of non reduced bias generalized means in extreme value theory: an asymptotic comparison
- A heuristic adaptive choice of the threshold for bias-corrected Hill estimators
- A location-invariant probability weighted moment estimation of the Extreme Value Index
- A moment estimator for the index of an extreme-value distribution
- A new class of estimators of a ``scale second order parameter
- A new class of semi-parametric estimators of the second order parameter.
- A new family of life distributions
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
- A note on second order conditions in extreme value theory: linking general and heavy tail conditions
- A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
- A note on the port methodology in the estimation of a shape second-order parameter
- A semi-parametric estimator of a shape second-order parameter
- A simple general approach to inference about the tail of a distribution
- A simple generalisation of the Hill estimator
- A simple second-order reduced bias’ tail index estimator
- Adaptive PORT-MVRB estimation of the extreme value index
- Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
- Adaptive estimates of parameters of regular variation
- Adaptive estimation of heavy right tails: resampling-based methods in action
- Adaptive reduced-bias tail index and VaR estimation via the bootstrap methodology
- Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology
- An asymptotically unbiased moment estimator of a negative extreme value index
- An interview with Ivette Gomes
- An overview and open research topics in statistics of univariate extremes
- Approximation by penultimate extreme value distributions
- Asymptotic Extremes for $m$-Dependent Random Variables
- Asymptotic comparison at optimal levels of reduced-bias extreme value index estimators
- Asymptotic comparison of the mixed moment and classical extreme value index estimators
- Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
- Averages of Hill estimators
- Bias reduction and explicit semi-parametric estimation of the tail index
- Bias reduction in risk modelling: semi-parametric quantile estimation
- Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
- Bias reduction of a tail index estimator through an external estimation of the second-order parameter
- Bootstrap methods: another look at the jackknife
- Censoring estimators of a positive tail index
- Comparison at optimal levels of classical tail index estimators: a challenge for reduced-bias estimation?
- Comparison of tail index estimators
- Competitive estimation of the extreme value index
- Concomitants and linear estimators in an i-dimensional extremal model
- Corrected-Hill versus partially reduced-bias value-at-risk estimation
- Corrections
- Direct reduction of bias of the classical Hill estimator
- Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” and a novel financial extreme value data analytics from natural disasters
- Efficiency of partially reduced-bias mean-of-order-\(p\) versus minimum-variance reduced-bias extreme value index estimation
- Erratum to: ``Competitive estimation of the extreme value index.
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Estimation of a scale second-order parameter related to the PORT methodology
- Estimation of the extreme value index and extreme quantiles under random censoring
- Excess functions and estimation of the extreme-value index
- Extremal Processes
- Extremal processes. II
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Extreme Values in Samples from $m$-Dependent Stationary Stochastic Processes
- Extreme Values in Uniformly Mixing Stationary Stochastic Processes
- Extreme value theory. An introduction.
- Extremes and recurrence in dynamical systems
- Extremes and related properties of random sequences and processes
- Forecasting and assessing risk of individual electricity peaks
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
- Generalized Gumbel and likelihood ratio test statistics in the multivariate GEV model
- Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
- Generalized jackknife semi-parametric estimators of the tail index
- High quantile estimation and the PORT methodology
- How Can Non-invariant Statistics Work in Our Benefit in the Semi-parametric Estimation of Parameters of Rare Events
- Improved reduced-bias tail index and quantile estimators
- Improvements in the estimation of a heavy tail
- Improvements in the estimation of the Weibull tail coefficient: a comparative study
- Improving second order reduced bias extreme value index estimation
- Inference about the tail of a distribution: improvement on the Hill estimator
- Joint exceedances of the ARCH process
- Lehmer's mean-of-order-\(p\) extreme value index estimation: a simulation study and applications
- Limit laws for the maximum values of a class of strong mixing discrete random variables
- Limiting forms of the frequency distribution of the largest or smallest member of a sample.
- Linear Estimation in Censored Samples from Multivariate Normal Populations
- Maximum likelihood revisited under a semi-parametric context - estimation of the tail index
- Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
- Mean-of-order-\(p\) location-invariant extreme value index estimation
- Mixed moment estimator and location invariant alternatives
- Modeling extreme events: sample fraction adaptive choice in parameter estimation
- Modeling risk of extreme events in generalized Verhulst models
- NOTES ON BIAS IN ESTIMATION
- New Reduced-bias Estimators of a Positive Extreme Value Index
- Non-Linear Time Series
- Non-reduced versus reduced-bias estimators of the extreme value index -- efficiency and robustness
- Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation
- Nonparametric Analysis of Univariate Heavy‐Tailed Data
- On Extreme Order Statistics
- On an extreme value version of the Birnbaum-Saunders distribution
- On the Distribution of the Maximum of Random Variables
- On the comparison of several classical estimators of the extreme value index
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- PORT-estimation of a shape second-order parameter
- Parameter Estimation for the Truncated Pareto Distribution
- Peaks over random threshold methodology for tail index and high quantile estimation
- Penultimate approximations in statistics of extremes and reliability of large coherent systems
- Penultimate limiting forms in extreme value theory
- Penultimate versus ultimate in statistical theory of extremes. A simulation study
- Randomly stopped \(k\)th order statistics
- Reduced-Bias Tail Index Estimators Under a Third-Order Framework
- Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application
- Reduced-bias location-invariant extreme value index estimation: a simulation study
- Reduced‐bias tail index estimation and the jackknife methodology
- Refined estimation of a light tail: an application to environmental data
- Resampling methodologies and reliable tail estimation
- Resampling methodologies in the field of statistics of univariate extremes
- Revisiting rates of convergence and penultimate approximations for extremes
- Revisiting the maximum likelihood estimation of a positive extreme value index
- Selecting the optimal sample fraction in univariate extreme value estimation
- Semi-parametric estimation of the second order parameter in statistics of extremes
- Semi-parametric probability-weighted moments estimation revisited
- Semi-parametric second-order reduced-bias high quantile estimation
- Semi-parametric tail inference through probability-weighted moments
- Some results on the behaviour of hill's estimator
- Statistical choice of extreme value domains of attraction — a comparative analysis
- Statistical inference using extreme order statistics
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- Statistics of extremes in athletics
- Statistics of extremes under random censoring
- Subsampling techniques and the jackknife methodology in the estimation of the extremal index
- Sur la distribution limite du terme maximum d'une série aléatoire
- Sur la loi de probabilité de l'écart maximum.
- Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
- Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
- Tail fitting for truncated and non-truncated Pareto-type distributions
- Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
- Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold
- The MOP EVI-estimator revisited
- The asymptotic theory of concomitants of order statistics
- The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
- The latest advances on the Hill estimator and its modifications
- The total median in statistical quality control
- Threshold selection in extreme value analysis
- Using a bootstrap method to choose the sample fraction in tail index estimation
- Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
- Value-at-risk estimation and the PORT mean-of-order-\(p\) methodology
- Weak convergence results for extremal processes generated by dependent random variables
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
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