Statistics of extreme values tail inference

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Extreme Value Index Estimators and Smoothing Alternatives: A Critical Review [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 the extreme-value index. In this paper we review several extreme-value
Panaretos, John, Tsourti, Zoi
core +1 more source

Tail Behaviour of the Euro [PDF]

This paper empirically analyses risk in the Euro relative to other currencies. Comparisons are made between a sub period encompassing the final transitional stage to full monetary union with a sub period prior to this.
Cotter, John
core +1 more source

Estimating the probability of large negative stock market [PDF]

Correct assessment of the risks associated with likely economic outcomes is vital for effective decision making. The objective of investment in the stock market is to obtain positive market returns.
Philip Kostov, Seamus McErlean
core

Kernel Methods for Small Sample and Asymptotic Tail Inference for Dependent, Heterogeneous Data [PDF]

This paper considers tail shape inference techniques robust to substantial degrees of serial dependence and heterogeneity. We detail a new kernel estimator of the asymptotic variance and the exact small sample mean-squared-error, and a simple ...
Jonathan Hill
core

Comparison Between Bayesian and Frequentist Tail Probability Estimates

, 2019
In this paper, we investigate the reasons that the Bayesian estimator of the tail probability is always higher than the frequentist estimator. Sufficient conditions for this phenomenon are established both by using Jensen's Inequality and by looking at ...
González, Bárbara, Pericchi, Luis Raúl, Shen, Nan +2 more
core

Extreme values statistics for Markov chains via the (pseudo-) regenerative method

, 2009
P. Bertail, S. Clémençon, J. Tressou
semanticscholar +1 more source

Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles