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Extreme Value Index Estimation by Means of an Inequality Curve [PDF]
Mathematics, 2020 A characterizing property of Zenga (1984) inequality curve is exploited in order to develop an estimator for the extreme value index of a distribution with regularly varying tail.
Emanuele Taufer +4 more
doaj +3 more sources
A Moment Estimator for the Index of an Extreme-Value Distribution [PDF]
Annals of Statistics, 1989 On generalise l'estimateur bien connu de Hill de l'indice d'une fonction de reparatition avec queue de variation reguliere a une estimation de l'indice d'une loi de valeurs extremes. On demontre la convergence et la normalite asymptotique. On utilise l'estimateur pour certaines estimations comme celle d'une quantile elevee et d'un point d ...
Dekkers, A. L. M. +2 more
exaly +6 more sources
On maximum likelihood estimation of the extreme value index
Annals of Applied Probability, 2004 We prove asymptotic normality of the so-called maximum likelihood estimator of the extreme value index.
Holger Drees +2 more
exaly +5 more sources
Kernel-type estimators for the extreme value index
Annals of Statistics, 2003 The paper deals with the estimation of the shape parameter \(\gamma\) of the generalized extreme value distribution. The parameter \(\gamma\) is known also as the extreme value index or the tail index. The authors propose kernel-type estimators which can be used for estimating the extreme value index over the whole (positive and negative) range.
De Wolf, P.P. (author) +2 more
exaly +7 more sources
A moment estimator for the conditional extreme-value index
Electronic Journal of Statistics, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gilles Stupfler
exaly +4 more sources
Refined Pickands estimators of the extreme value index
Annals of Statistics, 1995 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Holger Drees
exaly +4 more sources
Using the Extremal Index for Value-at-Risk Backtesting* [PDF]
Journal of Financial Econometrics, 2020 AbstractWe introduce a set of new Value-at-Risk independence backtests by establishing a connection between the independence property of Value-at-Risk forecasts and the extremal index, a general measure of extremal clustering of stationary sequences.
Axel Bücher +2 more
openaire +2 more sources
Extremal values on the Sombor index of trees [PDF]
match Communications in Mathematical and in Computer Chemistry, 2021 The Sombor index of a graph is defined as where denote the degree of the vertex in . In this article, we determine the extremal values of the Sombor index of trees with some given parameters, including matching number, pendant vertices, diameter, segment number, branching number, etc. The corresponding extremal trees are characterized completely.
Hanlin Chen, Wenhao Li, Jing Wang
openaire +1 more source
EVIboost for the Estimation of Extreme Value Index Under Heterogeneous Extremes
Journal of Data Science, 2022 Modeling heterogeneity on heavy-tailed distributions under a regression framework is challenging, yet classical statistical methodologies usually place conditions on the distribution models to facilitate the learning procedure. However, these conditions will likely overlook the complex dependence structure between the heaviness of tails and the ...
Wang, Jiaxi +3 more
openaire +2 more sources
Atmosphere, 2023 The intensification of global warming under the influence of human activities has directly led to an increase in the magnitude of changes in the climate system, further exacerbating the impact on the global water cycle and making extreme weather events ...
Ting Chen, Jie Gao, Tianqi Ao
doaj +1 more source