Extreme Value Theory offers a careful, coherent exposition of the subject starting from the
probabilistic and mathematical foundations and proceeding to the statistical theory. The …

This comprehensive text gives an interesting and useful blend of the mathematical,
probabilistic and statistical tools used in heavy-tail analysis. Heavy tails are characteristic of …

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 …

Heavy-tailed distributions are often encountered in economics, finance, biology,
telecommunications, geology, etc. The heaviness of a tail is measured by a tail index …

In extreme value theory, there are two fundamental approaches, both widely used: the block
maxima (BM) method and the peaks-over-threshold (POT) method. Whereas much …

One of the most important problems involved in the estimation of Pareto indices is the
reduction of bias in case the slowly varying part of the Pareto type model disappears at a …

An abundance of high quality data sets requiring heavy tailed models necessitates reliable
methods of estimating the shape parameter governing the degree of tail heaviness. The Hill …

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 …

The asymptotic normality of a class of estimators for extreme quantiles is established under
mild structural conditions on the observed stationary β-mixing time series. Consistent …

The aim of this paper is to give a brief overview about several tests published in the context
of statistical choice of extreme value domains and for assessing extreme value conditions …