Conditioning exceedances on covariate processes

DOI10.1007/s10687-010-0124-4zbMath1329.62225OpenAlexW1978234668MaRDI QIDQ906628

Ulf Cormann, Rolf-Dieter Reiss

Publication date: 22 January 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-010-0124-4

zbMATH Keywords

conditional maximum likelihood estimationcovariate informationpoint processes of exceedancesstatistics of extreme values

Mathematics Subject Classification ID

Point estimation (62F10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Uses Software

• FinTS
• ismev

Cites Work

• Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
• A course on point processes
• Local Likelihood Estimation
• Analysis of Financial Time Series
• An introduction to statistical modeling of extreme values
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