Extreme value theory and statistics of univariate extremes: a review
Statistical issues arising in modelling univariate extremes of a random sample have been
successfully used in the most diverse fields, such as biometrics, finance, insurance and risk …
successfully used in the most diverse fields, such as biometrics, finance, insurance and risk …
[BOOK][B] Heavy-tailed time series
R Kulik, P Soulier - 2020 - Springer
This book is concerned with extreme value theory for stochastic processes whose finite-
dimensional distributions are heavy-tailed in the restrictive sense of regular variation. These …
dimensional distributions are heavy-tailed in the restrictive sense of regular variation. These …
Statistics of heteroscedastic extremes
JHJ Einmahl, L Haan, C Zhou - Journal of the Royal Statistical …, 2016 - academic.oup.com
We extend classical extreme value theory to non-identically distributed observations. When
the tails of the distribution are proportional much of extreme value statistics remains valid …
the tails of the distribution are proportional much of extreme value statistics remains valid …
A horse race between the block maxima method and the peak–over–threshold approach
A Horse Race between the Block Maxima Method and the Peak-over-Threshold Approach
Page 1 Statistical Science 2021, Vol. 36, No. 3, 360–378 https://doi.org/10.1214/20-STS795 © …
Page 1 Statistical Science 2021, Vol. 36, No. 3, 360–378 https://doi.org/10.1214/20-STS795 © …
Extreme M-quantiles as risk measures: From to optimization
Extreme M-quantiles as risk measures: From L1 to Lp optimization Page 1 Bernoulli 25(1), 2019,
264–309 https://doi.org/10.3150/17-BEJ987 Extreme M-quantiles as risk measures: From L 1 to L …
264–309 https://doi.org/10.3150/17-BEJ987 Extreme M-quantiles as risk measures: From L 1 to L …
Weak convergence of a pseudo maximum likelihood estimator for the extremal index
B Berghaus, A Bücher - 2018 - projecteuclid.org
Weak convergence of a pseudo maximum likelihood estimator for the extremal index Page 1
The Annals of Statistics 2018, Vol. 46, No. 5, 2307–2335 https://doi.org/10.1214/17-AOS1621 …
The Annals of Statistics 2018, Vol. 46, No. 5, 2307–2335 https://doi.org/10.1214/17-AOS1621 …
A large deviations approach to limit theory for heavy-tailed time series
In this paper we propagate a large deviations approach for proving limit theory for
(generally) multivariate time series with heavy tails. We make this notion precise by …
(generally) multivariate time series with heavy tails. We make this notion precise by …
Tail risk inference via expectiles in heavy-tailed time series
Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the
expectation. The popularity of expectile-based risk measures is steadily growing and their …
expectation. The popularity of expectile-based risk measures is steadily growing and their …
Extreme value inference for heterogeneous power law data
JHJ Einmahl, Y He - The Annals of Statistics, 2023 - projecteuclid.org
Extreme value inference for heterogeneous power law data Page 1 The Annals of Statistics
2023, Vol. 51, No. 3, 1331–1356 https://doi.org/10.1214/23-AOS2294 © Institute of …
2023, Vol. 51, No. 3, 1331–1356 https://doi.org/10.1214/23-AOS2294 © Institute of …
Multiple block sizes and overlap** blocks for multivariate time series extremes
Block maxima methods constitute a fundamental part of the statistical toolbox in extreme
value analysis. However, most of the corresponding theory is derived under the simplifying …
value analysis. However, most of the corresponding theory is derived under the simplifying …