Results 11 to 20 of about 180 (55)
Smooth tail index estimation [PDF]
, 2007 Both parametric distribution functions appearing in extreme value theory - the generalized extreme value distribution and the generalized Pareto distribution - have log-concave densities if the extreme value index gamma is in [-1,0].
Balabdaoui F. +10 more
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Extreme value distributions of noncolliding diffusion processes [PDF]
, 2010 Noncolliding diffusion processes reported in the present paper are $N$-particle systems of diffusion processes in one-dimension, which are conditioned so that all particles start from the origin and never collide with each other in a finite time interval
Izumi, Minami, Katori, Makoto
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Why scoring functions cannot assess tail properties [PDF]
, 2019 Motivated by the growing interest in sound forecast evaluation techniques with an emphasis on distribution tails rather than average behaviour, we investigate a fundamental question arising in this context: Can statistical features of distribution tails ...
Brehmer, Jonas, Strokorb, Kirstin
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Maximum L$q$-likelihood estimation [PDF]
, 2010 In this paper, the maximum L$q$-likelihood estimator (ML$q$E), a new parameter estimator based on nonextensive entropy [Kibernetika 3 (1967) 30--35] is introduced. The properties of the ML$q$E are studied via asymptotic analysis and computer simulations.
Ferrari, Davide, Yang, Yuhong
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Higher criticism for detecting sparse heterogeneous mixtures [PDF]
, 2004 Higher criticism, or second-level significance testing, is a multiple-comparisons concept mentioned in passing by Tukey. It concerns a situation where there are many independent tests of significance and one is interested in rejecting the joint null ...
Donoho, David, Jin, Jiashun
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Confidence regions for high quantiles of a heavy tailed distribution
, 2006 Estimating high quantiles plays an important role in the context of risk management. This involves extrapolation of an unknown distribution function. In this paper we propose three methods, namely, the normal approximation method, the likelihood ratio ...
Peng, Liang, Qi, Yongcheng
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Limit laws for random vectors with an extreme component [PDF]
, 2007 Models based on assumptions of multivariate regular variation and hidden regular variation provide ways to describe a broad range of extremal dependence structures when marginal distributions are heavy tailed.
Heffernan, Janet E., Resnick, Sidney I.
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A note on nonparametric estimation of bivariate tail dependence [PDF]
, 2012 Nonparametric estimation of tail dependence can be based on a standardization of the marginals if their cumulative distribution functions are known.
Bücher, Axel
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A representation of Gibbs measure for the random energy model
, 2004 In this work we consider a problem related to the equilibrium statistical mechanics of spin glasses, namely the study of the Gibbs measure of the random energy model. For solving this problem, new results of independent interest on sums of spacings for i.
Kratz, Marie F., Picco, Pierre
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Nonparametric inference on L\'evy measures and copulas [PDF]
, 2012 In this paper nonparametric methods to assess the multivariate L\'{e}vy measure are introduced. Starting from high-frequency observations of a L\'{e}vy process $\mathbf{X}$, we construct estimators for its tail integrals and the Pareto-L\'{e}vy copula ...
Bücher, Axel, Vetter, Mathias
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