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Extreme Value Index Estimators and Smoothing Alternatives: Review and Simulation Comparison [PDF]
Extreme-value theory and corresponding analysis is an issue extensively applied in many different fields. The central point of this theory is the estimation of a parameter γ, known as extreme-value index.
Panaretos, John, Tsourti, Zoi
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Multivariate extreme value theory
When passing from the univariate to the multivariate setting, modelling extremes becomes much more intricate. In this introductory exposition, classical multivariate extreme value theory is presented from the point of view of multivariate excesses over high thresholds as modelled by the family of multivariate generalized Pareto distributions.
Naveau, Philippe, Segers, Johan
openaire +2 more sources
Numerical Exploration of Thermal Shock Resistance in MgO–C Refractories
Advanced Engineering Materials, EarlyView.A mesostructure‐resolved numerical framework is developed to evaluate the thermal shock resistance of MgO–C refractories. By modeling interface debonding under rapid temperature changes and introducing a modified thermal shock parameter that accounts for mesocracks, the study shows how graphite content and aggregate size influence thermal shock ...
Jishnu Vinayak Gopi +3 more
wiley +1 more source
Modeling of the air temperature using the Extreme Value Theory for selected biomes in Mato Grosso do Sul (Brazil). [PDF]
Stoch Environ Res Risk Assess, 2022 Dos Reis CJ +6 more
europepmc +1 more source
Rates of convergence for Renyi entropy in extreme value theory
, 2014 Max stable laws are limit laws of linearly normalized partial maxima of independent identically distributed random variables. Saeb (2014) proves that the Renyi entropy of order b (b > 1) of linear normalized maximum of iid random variables with ...
Saeb, Ali
core
Influence of Test Temperature and Test Frequency on Fatigue Life of Aluminum Alloy EN AW‐2618A
Advanced Engineering Materials, EarlyView.The influence of test temperature and test frequency on the fatigue life of EN AW‐2618A is investigated. High‐cycle fatigue tests are performed at different test temperatures and frequencies on the 1000 h/230°C overaged state. Both test parameters reduce fatigue life due to time‐dependent damage mechanisms.
Ying Han +5 more
wiley +1 more source
Extreme Value Theory and Fat Tails in Equity Markets [PDF]
Equity market crashes or booms are extreme realizations of the underlying return distribution. This paper questions whether booms are more or less likely than crashes and whether emerging markets crash more frequently than developed equity markets.
Blake LeBaron, Ritirupa Samanta
core
Advanced Engineering Materials, EarlyView.Do not let thermal drift and instrument artifacts deceive high‐temperature nanoindentation results. We compare classical Oliver–Pharr and automatic image recognition analyses across steels and a Ni alloy to quantify these effects. Accounting for artifacts reveals systematic softening with temperature, while Cr and Ni additions boost resistance ...
Velislava Yonkova +2 more
wiley +1 more source
Modeling multivariate cyber risks: deep learning dating extreme value theory. [PDF]
J Appl Stat, 2023 Zhang Wu M, Luo J, Fang X, Xu M, Zhao P.
europepmc +1 more source
Measuring market risk using extreme value theory [PDF]
The adoption of Basel II standards by the Bangko Sentral ng Pilipinas initiates financial institutions to develop value-at-risk (VaR) models to measure market risk.
Mapa, Dennis S., Suaiso, Oliver Q.
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