Related papers: A Pickands type estimator of the extreme value ind…
We study a new estimator for the tail index of a distribution in the Frechet domain of attraction that arises naturally by computing subsample maxima. This estimator is equivalent to taking a U-statistic over a Hill estimator with two order…
We present a new method for estimating the edge of a two-dimensional bounded set, given a finite random set of points drawn from the interior. The estimator is based both on Haar series and extreme values of the point process. We give…
The tail of a bivariate distribution function in the domain of attraction of a bivariate extreme-value distribution may be approximated by the one of its extreme-value attractor. The extreme-value attractor has margins that belong to a…
In this paper, we propose an estimator of the second-order parameter of randomly right-truncated Pareto-type distributions data and establish its consistency and asymptotic normality. Moreover, we derive an asymptotically unbiased estimator…
Extreme value applications commonly employ regression techniques to capture cross-sectional heterogeneity or time-variation in the data. Estimation of the parameters of an extreme value regression model is notoriously challenging due to the…
Extreme values modeling has attracting the attention of researchers in diverse areas such as the environment, engineering, or finance. Multivariate extreme value distributions are particularly suitable to model the tails of multidimensional…
We study analytically and numerically the extreme value distribution of observables defined along the temporal evolution of a dynamical system. The convergence to the Gumbel law of observable recurrences gives information on the fractal…
Extreme value theory (EVT) provides an elegant mathematical tool for the statistical analysis of rare events. When data are collected from multiple population subgroups, because some subgroups may have less data available for extreme value…
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…
Extreme value theory has constructed asymptotic properties of the sample maximum. This study concerns probability distribution estimation of the sample maximum. The traditional approach is parametric fitting to the limiting distribution --…
Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years,…
This paper investigates the use of extreme value theory for modelling the distribution of demand-net-of-wind for capacity adequacy assessment. Extreme value theory approaches are well-established and mathematically justified methods for…
Statistical inference for extreme values of random events is difficult in practice due to low sample sizes and inaccurate models for the studied rare events. If prior knowledge for extreme values is available, Bayesian statistics can be…
Missing data occur in a variety of applications of extreme value analysis. In the block maxima approach to an extreme value analysis, missingness is often handled by either ignoring missing observations or dropping a block of observations…
We study tail risk dynamics in high-frequency financial markets and their connection with trading activity and market uncertainty. We introduce a dynamic extreme value regression model accommodating both stationary and local unit-root…
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…
Max-stable distributions and processes are important models for extreme events and the assessment of tail risks. The full, multivariate likelihood of a parametric max-stable distribution is complicated and only recent advances enable its…
Extreme values of real phenomena are events that occur with low frequency, but can have a large impact on real life. These are, in many practical problems, high-dimensional by nature (e.g. Tawn, 1990; Coles and Tawn, 1991). To study these…
This paper deals with the extreme value analysis for the triangular arrays, which appear when some parameters of the mixture model vary as the number of observations grow. When the mixing parameter is small, it is natural to associate one…
We study the characteristics of the Pickands' dependence function for bivariate extreme distribution for minima, BEVM, when considering the stochastics ordering of the two variables. The existing Pickand's dependence function terminologies…