Related papers: Subsampling Extremes: From Block Maxima to Smooth …
We study the parameter estimation method for linear regression models with possibly skewed stable distributed errors. Our estimation procedure consists of two stages: first, for the regression coefficients, the Cauchy quasi-maximum…
Inference over tails is usually performed by fitting an appropriate limiting distribution over observations that exceed a fixed threshold. However, the choice of such threshold is critical and can affect the inferential results. Extreme…
A novel and comprehensive methodology designed to tackle the challenges posed by extreme values in the context of random censorship is introduced. The main focus is on the analysis of integrals based on the product-limit estimator of…
A common bottleneck in evaluating extremal performance measures is that, due to their very nature, tail data are often very limited. The conventional approach selects the best probability distribution from tail data using parametric…
For multivariate distributions in the domain of attraction of a max-stable distribution, the tail copula and the stable tail dependence function are equivalent ways to capture the dependence in the upper tail. The empirical versions of…
Here we suppose that the observed random variable has cumulative distribution function $F$ with regularly varying tail, i.e. $1-F \in RV_{-\alpha}$, $\alpha > 0$. Using the results about exponential order statistics we investigate…
We propose a new model and estimation framework for spatiotemporal streamflow exceedances above a threshold that flexibly captures asymptotic dependence and independence in the tail of the distribution. We model streamflow using a mixture…
A network evolution with predicted tail and extremal indices of PageRank and the Max-Linear Model used as node influence indices in random graphs is considered. The tail index shows a heaviness of the distribution tail. The extremal index…
We propose an extension of the regular Cox's proportional hazards model which allows the estimation of the probabilities of rare events. It is known that when the data are heavily censored at the upper end of the survival distribution, the…
By means of a Lynden-Bell integral with deterministic threshold, Worms and Worms [A Lynden-Bell integral estimator for extremes of randomly truncated data. Statist. Probab. Lett. 2016; 109: 106-117] recently introduced an asymptotically…
Big data is ubiquitous in practices, and it has also led to heavy computation burden. To reduce the calculation cost and ensure the effectiveness of parameter estimators, an optimal subset sampling method is proposed to estimate the…
We investigate the use of optimization to compute bounds for extremal performance measures. This approach takes a non-parametric viewpoint that aims to alleviate the issue of model misspecification possibly encountered by conventional…
In this paper, we consider the problem of the estimation of a Weibull tail-coefficient. In particular, we propose a regression model, from which we derive a bias-reduced estimator. This estimator is based on a least-squares approach. The…
In this paper, we present a new framework to obtain tail inequalities for sums of random matrices. Compared with existing works, our tail inequalities have the following characteristics: 1) high feasibility--they can be used to study the…
We derive in this preprint the moment and exponential tail estimates, sufficient conditions for the Non-Central Limit Theorem (NCLT) in the ordinary one-dimensional space as well as in the space of continuous functions for the properly…
The possibilities of the use of the coefficient of variation over a high threshold in tail modelling are discussed. The paper also considers multiple threshold tests for a generalized Pareto distribution, together with a threshold selection…
We revisit the estimation of the extreme value index for randomly censored data from a heavy tailed distribution. We introduce a new class of estimators which encompasses earlier proposals given in Worms and Worms (2014) and Beirlant et al.…
The block maxima method is one of the most popular approaches for extreme value analysis with independent and identically distributed observations in the domain of attraction of an extreme value distribution. The lack of a rigorous study on…
We develop a novel procedure for estimating the optimizer of general convex stochastic optimization problems of the form $\min_{x\in\mathcal{X}} \mathbb{E}[F(x,\xi)]$, when the given data is a finite independent sample selected according to…
We develop a probabilistic method for assessing the tail behavior and geometric stability of one-dimensional n i.i.d. samples by tracking how their span contracts when the most extreme points are trimmed. Central to our approach is the…