Results 11 to 20 of about 239,604 (162)
On maximum likelihood estimation of the extreme value index
The Annals of Applied Probability, 2004 We prove asymptotic normality of the so-called maximum likelihood estimator of the extreme value index.
Drees, Holger +2 more
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Simultaneous tail index estimation
Revstat Statistical Journal, 2004 The estimation of the extreme-value index γ based on a sample of independent and identically distributed random variables has received considerable attention in the extreme-value literature.
Jan Beirlant , Yuri Goegebeur
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Kernel-type estimators for the extreme value index
The 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
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Refined Pickands estimators of the extreme value index
The Annals of Statistics, 1995 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Extremal Values of the Sackin Tree Balance Index [PDF]
Annals of Combinatorics, 2021 AbstractTree balance plays an important role in different research areas like theoretical computer science and mathematical phylogenetics. For example, it has long been known that under the Yule model, a pure birth process, imbalanced trees are more likely than balanced ones.
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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
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Distributed inference for the extreme value index
Biometrika, 2021 Summary In this paper we investigate a divide-and-conquer algorithm for estimating the extreme value index when data are stored in multiple machines. The oracle property of such an algorithm based on extreme value methods is not guaranteed by the general theory of distributed inference.
Chen, Liujun, Li, Deyuan, Zhou, Chen
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Extreme value modelling of Ghana stock exchange index [PDF]
SpringerPlus, 2015 Modelling of extreme events has always been of interest in fields such as hydrology and meteorology. However, after the recent global financial crises, appropriate models for modelling of such rare events leading to these crises have become quite essential in the finance and risk management fields.
Nortey, Ezekiel N. N. +2 more
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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
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Multivariate moment based extreme value index estimators
Computational Statistics, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Matias Heikkilä +2 more
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