Related papers: Risk measure estimation for $\beta$-mixing time se…
Diversity schemes play a vital role in improving the performance of ultra-reliable communication systems by transmitting over two or more communication channels to combat fading and co-channel interference. Determining an appropriate…
Heavy-tailed probability distributions are extremely useful and play a crucial role in modeling different types of financial data sets. This study presents a two-pronged methodology. First, a mixture probability distribution is created by…
We consider estimation of the extreme value index and extreme quantiles for heavy-tailed data that are right-censored. We study a general procedure of removing low importance observations in tail estimators. This trimming procedure is…
The subject of tail estimation for randomly censored data from a heavy tailed distribution receives growing attention, motivated by applications for instance in actuarial statistics. The bias of the available estimators of the extreme value…
This paper introduces a novel measure to quantify the directional dependence of extreme events between two variables. The proposed approach is designed to capture asymmetric tail dependence by studying conditional tail expectations of…
Conventional methods for extreme event estimation rely on well-chosen parametric models asymptotically justified from extreme value theory (EVT). These methods, while powerful and theoretically grounded, could however encounter a difficult…
In extreme value inference it is a fundamental problem how the target value is required to be extreme by the extreme value theory. In iid settings this study both theoretically and numerically compares tail estimators, which are based on…
Generating accurate extremes from an observational data set is crucial when seeking to estimate risks associated with the occurrence of future extremes which could be larger than those already observed. Applications range from the…
One of the main topics of extreme value analysis is to estimate the extreme value index, an important parameter that controls the tail behavior of the distribution. In many cases, estimating the extreme value index of the target variable…
In classical extreme value theory probabilities of extreme events are estimated assuming all the components of a random vector to be in a domain of attraction of an extreme value distribution. In contrast, the conditional extreme value…
Impact assessment of natural hazards requires the consideration of both extreme and non-extreme events. Extensive research has been conducted on the joint modeling of bulk and tail in univariate settings; however, the corresponding body of…
We consider the problem of evaluating risk for a system that is modeled by a complex stochastic simulation with many possible input parameter values. Two sources of computational burden can be identified: the effort associated with…
Quantile regression is an important tool for estimation of conditional quantiles of a response Y given a vector of covariates X. It can be used to measure the effect of covariates not only in the center of a distribution, but also in the…
We suggest approximating the distribution of the sum of independent and identically distributed random variables with a Pareto-like tail by combining extreme value approximations for the largest summands with a normal approximation for the…
Systemic risk measures have been shown to be predictive of financial crises and declines in real activity. Thus, forecasting them is of major importance in finance and economics. In this paper, we propose a new forecasting method for…
In a wide variety of situations, anomalies in the behaviour of a complex system, whose health is monitored through the observation of a random vector X = (X1,. .. , X d) valued in R d , correspond to the simultaneous occurrence of extreme…
We consider heavy-tailed distributions and compare the well-known estimators of the tail index, based on extreme value theory with a comparatively recent estimator based on a different idea.
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 re-consider Leadbetter's extremal index for stationary sequences. It has interpretation as reciprocal of the expected size of an extremal cluster above high thresholds. We focus on heavy-tailed time series, in particular on regularly…
This paper addresses the problem of estimating, in the presence of random censoring as well as competing risks, the extreme value index of the (sub)-distribution function associated to one particular cause, in the heavy-tail case.…