Statistics of Extremes
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Bayesian methodsstationary time seriesstatistical inferencedomain of attractionmultivariate extreme values
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
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Cited in
(only showing first 100 items - show all)- Parameter estimation of the generalized Pareto distribution. I
- Parameter estimation of the generalized Pareto distribution. II
- Dense classes of multivariate extreme value distributions
- Estimating a bivariate tail: a copula based approach
- A flexible extreme value mixture model
- Regression-type analysis for multivariate extreme values
- The harmonic moment tail index estimator: asymptotic distribution and robustness
- Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
- Inference for extremal regression with dependent heavy-tailed data
- Modeling extreme values of processes observed at irregular time steps: application to significant wave height
- Efficient likelihood-based inference for the generalized Pareto distribution
- Extremal clustering in non-stationary random sequences
- From Mean and Median Income to the Most Adequate Way of Taking Inequality into Account
- Multivariate extreme value theory and its usefulness in understanding risk
- A flexible dependence model for spatial extremes
- Threshold selection for extremes under a semiparametric model
- The infinite extendibility problem for exchangeable real-valued random vectors
- Estimation of the expected shortfall given an extreme component under conditional extreme value model
- Combined tail estimation using censored data and expert information
- Features and performance of some outlier detection methods
- scientific article; zbMATH DE number 4106101 (Why is no real title available?)
- Statistical models and methods for dependence in insurance data
- Kernel estimators for the second order parameter in extreme value statistics
- An enhanced method for tail index estimation under missingness
- Bivariate extreme analysis of Olympic swimming data
- Extreme value analysis of multivariate high-frequency wind speed data
- Pseudo-convex mixtures generated by shape-extended stable distributions for extremes
- The pairwise beta distribution: A flexible parametric multivariate model for extremes
- A new estimation method for Weibull-type tails based on the mean excess function
- Extreme value theory. An introduction.
- Conditional extreme value models: fallacies and pitfalls
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- A robust estimator for the tail index of Pareto-type distributions
- Extremes in random fields. A theory and its applications
- On the Tail Behavior of Sums of Dependent Risks
- scientific article; zbMATH DE number 2122818 (Why is no real title available?)
- Non-stationary dependence structures for spatial extremes
- Location invariant heavy tail index estimation with block method
- Risk measures and multivariate extensions of Breiman's theorem
- Generalized madogram and pairwise dependence of maxima over two regions of a random field.
- A local moment type estimator for the extreme value index in regression with random covariates
- Nonparametric regression estimation of conditional tails: the random covariate case
- Extremal properties of the univariate extended skew-normal distribution. Part A.
- Extremal properties of the multivariate extended skew-normal distribution. Part B
- Max-stable processes for modeling extremes observed in space and time
- Harmonic statistics
- Gaussian approximation to the extreme value index estimator of a heavy-tailed distribution under random censoring
- A weighted mean excess function approach to the estimation of Weibull-type tails
- A limiting distribution for maxima of discrete stationary triangular arrays with an application to risk due to avalanches
- Peaks-over-threshold stability of multivariate generalized Pareto distributions
- Improving extreme quantile estimation via a folding procedure
- Extreme value laws in dynamical systems under physical observables
- Statistical analysis of the end-to-end delay of packet transfers in a peer-to-peer network
- Geostatistics of extremes
- Geostatistics of dependent and asymptotically independent extremes
- Performance assessment of sandwich and block bootstrap estimators for temporally dependent bivariate extremes
- Mixture modeling of data with multiple partial right-censoring levels
- A comparison of dependence function estimators in multivariate extremes
- Spatial hierarchical modeling of precipitation extremes from a regional climate model
- Two-sided variable inspection plans for arbitrary continuous populations with unknown distribution
- An alternative point process framework for modeling multivariate extreme values
- Estimation of expectile-based marginal expected shortfall under asymptotic independence
- Tail inverse regression: dimension reduction for prediction of extremes
- Joint stochastic simulation of extreme coastal and offshore significant wave heights
- Multivariate generalized Pareto distributions: parametrizations, representations, and properties
- Local estimation of the second-order parameter in extreme value statistics and local unbiased estimation of the tail index
- Estimation in Nonparametric Regression with Non-Regular Errors
- Box-Cox transformation on the estimation of extreme value index (EVI) and high quantiles for heavy-tailed distributions under dependence serials
- Estimation of the extreme value index in a censorship framework: asymptotic and finite sample behavior
- Dimension reduction in multivariate extreme value analysis
- Reinsurance of large claims
- An exceptional max-stable process fully parameterized by its extremal coefficients
- Diagnostic check for heavy tail in linear time series
- Robust and bias-corrected estimation of the coefficient of tail dependence
- Modeling clusters of extreme values
- Smoothness of time series: a new approach to estimation
- Asymptotics for ratios with applications to reinsurance
- Explaining the seismic moment of large earthquakes by heavy and extremely heavy tailed models
- Time series interpolation via global optimization of moments fitting
- Weak convergence of multivariate partial maxima processes
- Sequential monitoring of the tail behavior of dependent data
- Extreme partial least-squares
- Modelling censored losses using splicing: a global fit strategy with mixed Erlang and extreme value distributions
- Estimating an extreme Bayesian network via scalings
- Empirical Bayes inference for the block maxima method
- Simple sufficient criteria for second-order extended regular variation in the Gumbel domain of attraction: the case of Weibull-tailed distributions
- Tail classification using non-linear regression on model plots
- Inference for bivariate extremes via a semi-parametric angular-radial model
- How retention levels influence the variability of the total risk under reinsurance
- Bayesian comparison of different rainfall depth-duration-frequency relationships
- Bayesian inference for extreme quantiles of heavy tailed distributions
- Advances in statistical modeling of spatial extremes
- Assessing the performance of confidence intervals for high quantiles of Burr XII and Inverse Burr mixtures
- A method of moments estimator of tail dependence
- Tail-dependence, exceedance sets, and metric embeddings
- A crossinggram for random fields on lattices
- Extreme value theory for singular measures
- Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
- A comparative study of the adaptive choice of thresholds in extreme hydrologic events
- Asymptotics of joint maxima for discontinuous random variables
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