Tail inference: where does the tail begin?
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Publication:907362
DOI10.1007/s10687-011-0145-7zbMath1329.62235OpenAlexW1974585154MaRDI QIDQ907362
Gennady Samorodnitsky, Tilo Nguyen
Publication date: 25 January 2016
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://hdl.handle.net/1813/22505
Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
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Multivariate Hill Estimators, Estimates of System Response Maxima by Extreme Value Theory and Surrogate Models, MULTIVARIATE TAIL ESTIMATION WITH APPLICATION TO ANALYSIS OF COVAR, Microstructure Models and Material Response by Extreme Value Theory, Multiple thresholds in extremal parameter estimation
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