Results 31 to 40 of about 61,616 (135)
Max-infinitely divisible models and inference for spatial extremes
, 2020 For many environmental processes, recent studies have shown that the dependence strength is decreasing when quantile levels increase. This implies that the popular max-stable models are inadequate to capture the rate of joint tail decay, and to estimate ...
Huser, Raphael +2 more
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Accounting for choice of measurement scale in extreme value modeling [PDF]
, 2010 We investigate the effect that the choice of measurement scale has upon inference and extrapolation in extreme value analysis. Separate analyses of variables from a single process on scales which are linked by a nonlinear transformation may lead to ...
Jonathan, P. +2 more
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, 2020 Markov chain Monte Carlo is a key computational tool in Bayesian statistics, but it can be challenging to monitor the convergence of an iterative stochastic algorithm.
Bürkner, Paul-Christian +4 more
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, 2021 Extreme value theory provides essential mathematical foundations for modelling tail risks and has wide applications. The emerging of big and heterogeneous data calls for the development of new extreme value theory and methods.
Wen Xu, Huixia Judy Wang
semanticscholar +1 more source
On the Hill estimator: a comparison of methods [PDF]
, 2015 Extreme value theory (EVT) deals with the occurrence of extreme phenomena. The tail index is a very important parameter appearing in the estimation of the probability of rare events. Under a semiparametric framework, inference requires the choice of a
Ferreira, Marta Susana +1 more
core
Robust estimator of distortion risk premiums for heavy-tailed losses [PDF]
, 2016 We use the so-called t-Hill tail index estimator proposed by Fabi\'an(2001), rather than Hill's one, to derive a robust estimator for the distortion risk premium of loss.
Brahimi, Brahim, Kenioua, Zoubir
core +3 more sources
Model misspecification in peaks over threshold analysis
, 2010 Classical peaks over threshold analysis is widely used for statistical modeling of sample extremes, and can be supplemented by a model for the sizes of clusters of exceedances.
Davison, Anthony C., Süveges, Mária
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Second-order refined peaks-over-threshold modelling for heavy-tailed distributions [PDF]
, 2008 Modelling excesses over a high threshold using the Pareto or generalized Pareto distribution (PD/GPD) is the most popular approach in extreme value statistics.
Beirlant, Jan +2 more
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Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data [PDF]
, 2003 We investigate extreme dependence in a multivariate setting with special emphasis on financial applications. We introduce a new dependence function which allows us to capture the complete extreme dependence structure and present a nonparametric ...
Hsing, T. +2 more
core +2 more sources
Modeling extreme values of processes observed at irregular time steps: Application to significant wave height [PDF]
, 2014 This work is motivated by the analysis of the extremal behavior of buoy and satellite data describing wave conditions in the North Atlantic Ocean. The available data sets consist of time series of significant wave height (Hs) with irregular time sampling.
Ailliot, Pierre +2 more
core +5 more sources