The last decade has seen development of a plethora of approaches for threshold estimation
in extreme value applications. From a statistical perspective, the threshold is loosely defined …

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 …

Statistical Methods for Long Term Memory Processes covers the diverse statistical methods
and applications for data with long-range dependence. Presenting material that previously …

We discuss the analysis of the extremes of data by modelling the sizes and occurrence of
exceedances over high thresholds. The natural distribution for such exceedances, the …

Research in the statistical analysis of extreme values has flourished over the past decade:
new probability models, inference and data analysis techniques have been introduced; and …

We study the asymptotic properties of estimators of the tail of a distribution based on the
excesses over a threshold. A key idea is the use of Pickands' generalised Pareto distribution …

Tail index estimation depends for its accuracy on a precise choice of the sample fraction, ie,
the number of extreme order statistics on which the estimation is based. A complete solution …

Since the publication of the first edition of this seminar book in 1994, the theory and
applications of extremes and rare events have enjoyed an enormous and still increasing …

It is well known to applied statisticians and scientists that the assumption of independence is
often not valid for real data. In particular, even when all precautions are taken to prevent …

In general, estimators of the extreme value index of iid random variables crucially depend on
the sample fraction that is used for estimation. In case of the well-known Hill estimator the …