Statistics of Extremes
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Bayesian methodsdomain of attractionmultivariate extreme valuesstationary time seriesstatistical inference
Extreme value theory; extremal stochastic processes (60G70) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Bayesian inference (62F15) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Recommendations
Cited in
(only showing first 100 items - show all)- A method of moments estimator of tail dependence
- Estimating the multivariate extremal index function
- Estimation of bivariate excess probabilities for elliptical models
- Simulation of certain multivariate generalized Pareto distributions
- Estimation of the extreme value index and extreme quantiles under random censoring
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- Review of testing issues in extremes: in honor of Professor Laurens de Haan
- Convex geometry of max-stable distributions
- A new estimation method for Weibull-type tails based on the mean excess function
- A robust estimator for the tail index of Pareto-type distributions
- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
- Univariate and bivariate GPD methods for predicting extreme wind storm losses
- Computing the mean and the variance of the cedent's share for largest claims reinsurance covers
- Asymptotics of the sample coefficient of variation and the sample dispersion
- Effect of pore distribution on the statistics of peak stress and overall properties of porous material
- An efficient semiparametric maxima estimator of the extremal index
- Weak convergence of a pseudo maximum likelihood estimator for the extremal index
- A continuous updating weighted least squares estimator of tail dependence in high dimensions
- Bayesian model averaging for multivariate extremes
- A simple generalisation of the Hill estimator
- Detecting influential data points for the Hill estimator in Pareto-type distributions
- Comparison of risks based on the expected proportional shortfall
- Bayesian Dirichlet mixture model for multivariate extremes: a re-parametrization
- Small-sample one-sided testing in extreme value regression models
- Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
- Likelihood inference for generalized Pareto distribution
- Statistical concepts of \textit{a priori} and \textit{a posteriori} risk classification in insurance
- Extreme value analysis of actuarial risks: estimation and model validation
- An estimator of the stable tail dependence function based on the empirical beta copula
- Time-varying extreme value dependence with application to leading European stock markets
- Domination of sample maxima and related extremal dependence measures
- Some copula inference procedures adapted to the presence of ties
- Bayesian estimation of the tail index of a heavy tailed distribution under random censoring
- Representations of \(\max\)-stable processes via exponential tilting
- Inference for asymptotically independent samples of extremes
- Hierarchical Archimax copulas
- An analysis of a heuristic procedure to evaluate tail (in)dependence
- A supermartingale argument for characterizing the functional Hill process weak law for small parameters
- Modelling censored losses using splicing: a global fit strategy with mixed Erlang and extreme value distributions
- Predictability of extreme waves in the Lorenz-96 model near intermittency and quasi-periodicity
- Human life is unlimited -- but short
- A new non-parametric detector of univariate outliers for distributions with unbounded support
- Conditional extreme value models: fallacies and pitfalls
- Bias-corrected and robust estimation of the bivariate stable tail dependence function
- Semi-parametric regression estimation of the tail index
- Kernel estimation of extreme regression risk measures
- Empirical likelihood based inference for conditional Pareto-type tail index
- A comparison of dependence function estimators in multivariate extremes
- A non-linear mixed model approach for excess of loss benchmark rating
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Extreme quantiles and tail index of a distribution based on kernel estimator
- Extremal properties of the univariate extended skew-normal distribution. Part A.
- Extremal properties of the multivariate extended skew-normal distribution. Part B
- Diagnostic check for heavy tail in linear time series
- Multivariate generalized Pareto distributions: parametrizations, representations, and properties
- Multivariate peaks over thresholds models
- Multivariate order statistics: the intermediate case
- Editorial: Special issue on extreme theory and application. II
- An improved method for forecasting spare parts demand using extreme value theory
- Extremes for multivariate expectiles
- Explaining the seismic moment of large earthquakes by heavy and extremely heavy tailed models
- Efficient algorithms for heavy-tail analysis under interval uncertainty
- Forecaster's dilemma: extreme events and forecast evaluation
- Extreme value statistics and traveling fronts: Various applications
- Estimation of the third-order parameter in extreme value statistics
- Sparse moving maxima models for tail dependence in multivariate financial time series
- Weibull, RRSB or extreme-value theorists?
- Approximating the conditional density given large observed values via a multivariate extremes framework, with application to environmental data
- Testing for a generalized Pareto process
- Inference about the tail of a distribution: improvement on the Hill estimator
- An enhanced method for tail index estimation under missingness
- Introduction to extreme value theory: applications to risk analysis and management
- A comparative study of the adaptive choice of thresholds in extreme hydrologic events
- A full Bayesian approach to generalized maximum likelihood estimation of generalized extreme value distribution
- Data-adaptive trimming of the Hill estimator and detection of outliers in the extremes of heavy-tailed data
- Non-linear models for extremal dependence
- Semi-parametric modeling of excesses above high multivariate thresholds with censored data
- The min-characteristic function: characterizing distributions by their min-linear projections
- Threshold selection and trimming in extremes
- Editorial to the special issue: Statistical modeling of environmental extremes
- Parametric and non-parametric estimation of extreme earthquake event: the joint tail inference for mainshocks and aftershocks
- Cyber claim analysis using generalized Pareto regression trees with applications to insurance
- Asymptotics for sliding blocks estimators of rare events
- The coupling method in extreme value theory
- Multivariate matrix Mittag-Leffler distributions
- Climate extreme event attribution using multivariate peaks-over-thresholds modeling and counterfactual theory
- Multivariate goodness-of-fit tests based on Wasserstein distance
- Trimmed extreme value estimators for censored heavy-tailed data
- Semiparametric estimation for space-time max-stable processes: an \(F\)-madogram-based approach
- Assessing the performance of the discrete generalised Pareto distribution in modelling non-life insurance claims
- Five degrees of randomness
- On the estimation of the variability in the distribution tail
- A horse race between the block maxima method and the peak-over-threshold approach
- Extremes and regular variation
- The distribution of the maximum number of common neighbors in the random graph
- Goodness-of-fit procedures for compound distributions with an application to insurance
- Empirical tail conditional allocation and its consistency under minimal assumptions
- Power laws, the price model, and the Pareto type-2 distribution
- Regression-type analysis for multivariate extreme values
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