Found 2,469 Documents (Results 1–100)
On \(q\)-generalized extreme values under power normalization with properties, estimation methods and applications to COVID-19 data. (English) Zbl 07926358
Estimating a directed tree for extremes. (English) Zbl 07914031
MSC:
62-XX
Spatial extremes and stochastic geometry for Gaussian-based peaks-over-threshold processes. (English) Zbl 07909812
Correlation of powers of Hüsler-Reiss vectors and Brown-Resnick fields, and application to insured wind losses. (English) Zbl 07909810
Extremal index: estimation and resampling. (English) Zbl 07904635
MSC:
62-08
Limit theorems for non-degenerate U-statistics of block maxima for time series. (English) Zbl 07904145
The limit theorems on extreme order statistics and partial sums of i.i.d. random variables. (English) Zbl 07903492
Asymptotic independence of the sum and maximum of dependent random variables with applications to high-dimensional tests. (English) Zbl 07901862
MSC:
62-XX
The complex elliptic Ginibre ensemble at weak non-Hermiticity: edge spacing distributions. (English) Zbl 07901525
Reduced-bias estimation of the extreme conditional tail expectation for Box-Cox transforms of heavy-tailed distributions. (English) Zbl 1543.62353
The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements. (English) Zbl 07900722
Reviewer: C. Pereira da Silva (Curitiba)
Noninteracting particles in a harmonic trap with a stochastically driven center. (English) Zbl 07895114
Likelihood-free parameter estimation with neural Bayes estimators. (English) Zbl 07894981
MSC:
62-XX
Forecasting extreme negative returns in gold and silver: a discrete-duration approach to POT models. (English) Zbl 07889698
MSC:
62-XX
Hypothesis testing for varying coefficient models in tail index regression. (English) Zbl 1541.62093
Semiparametric tail-index estimation for randomly right-truncated heavy-tailed data. (English) Zbl 07882348
On maxima of stationary delay in the \({M/G/2}\) systems. (English. Russian original) Zbl 1541.60081
Mosc. Univ. Comput. Math. Cybern. 48, No. 2, 110-118 (2024); translation from Vestn. Mosk. Univ., Ser. XV 2024, No. 2, 49-57 (2024).
Regular variation in Hilbert spaces and principal component analysis for functional extremes. (English) Zbl 07879389
Joint test for homogeneity of high-dimensional means and covariance matrices using maximum-type statistics. (English) Zbl 07862760
Accurate approximation of the expected value, standard deviation, and probability density function of extreme order statistics from Gaussian samples. (English) Zbl 07862754
MSC:
62-XX
Higher-order expansions of powered extremes of logarithmic general error distribution. (English) Zbl 07852113
Higher-order representation of Karamata theorem. (English) Zbl 07850707
MSC:
62-XX
On uppermost discrete spacing. (English) Zbl 07850505
Characterization of valid auxiliary functions for representations of extreme value distributions and their max-domains of attraction. (English) Zbl 07846696
MSC:
62-XX
Modeling multivariate extreme value distributions via Markov trees. (English) Zbl 07846694
MSC:
62-XX
Extremes for stationary regularly varying random fields over arbitrary index sets. (English) Zbl 07846580
Reviewer: Eugen Paltanea (Braşov)
Point process convergence for symmetric functions of high-dimensional random vectors. (English) Zbl 07846578
On heavy-tailed risks under Gaussian copula: the effects of marginal transformation. (English) Zbl 07846378
Mixture cure model methodology in survival analysis: some recent results for the one-sample case. (English) Zbl 07845378
The infimum values of two probability functions for the gamma distribution. (English) Zbl 1537.60026
Asymptotic maxima of folded distributions with application to the multivariate extreme theory. (English) Zbl 1536.62055
Extremal statistics of quadratic forms of GOE/GUE eigenvectors. (English) Zbl 1537.60011
Reviewer: Rózsa Horváth-Bokor (Budakalász)
Multicyclic norias: a first-transition approach to extreme values of the currents. (English) Zbl 07827540
Evidence of random matrix corrections for the large deviations of Selberg’s central limit theorem. (English) Zbl 07815485
Reviewer: Ghaith A. Hiary (Columbus)
Weighted weak convergence of the sequential tail empirical process for heteroscedastic time series with an application to extreme value index estimation. (English) Zbl 07802701
Regional pooling in extreme event attribution studies: an approach based on multiple statistical testing. (English) Zbl 07802697
MSC:
62Exx
Extremal statistics for a one-dimensional Brownian motion with a reflective boundary. (English) Zbl 07791884
MSC:
82-XX
Estimation of extreme quantiles from heavy-tailed distributions with neural networks. (English) Zbl 1540.60093
Reviewer: Ravi Sreenivasan (Mysore)
Functional Extreme-PLS. arXiv:2410.05517
Preprint, arXiv:2410.05517 [math.ST] (2024).
Time series procedures to improve extreme quantile estimation. (English) Zbl 07923474
Kitsos, Christos P. (ed.) et al., Statistical modelling and risk analysis. Selected contributions from the 9th international conference, ICRA9, Perugia, Italy, May 25–27, 2022. Cham: Springer. Springer Proc. Math. Stat. 430, 69-80 (2023).
MSC:
62-XX
Improved convergence rates of normal extremes. (English) Zbl 07914312
Yi, Mengxi (ed.) et al., Robust and multivariate statistical methods. Festschrift in honor of David E. Tyler. Cham: Springer. 451-476 (2023).
Computationally efficient and data-adaptive changepoint inference in high dimension. (English) Zbl 07913974
MSC:
62-XX
Determining value at risk using extreme value theory on a financial data set. (English) Zbl 07908057
Extreme risk measurement of carbon market considering multifractal characteristics. (English) Zbl 07903329
Extreme value estimation for heterogeneous data. (English) Zbl 1542.62134
MSC:
62P20
On pairwise interaction multivariate Pareto models. (English) Zbl 07858737
MSC:
62-XX
Probability models and some mathematical techniques on parameter estimation for daily rainfall extremes: application to daily rainfall in southern Thailand. (English) Zbl 07853862
Artificial neural network modeling of rainfall-runoff extreme value distributions: a focus on the shape parameter. (English) Zbl 07853856
An improved estimator of distortion risk premiums under dependence insured risks with heavy-tailed marginals. (English) Zbl 07834552
Application of extreme value theory for maximum rainfall at Nakhon Ratchasima Province. (English) Zbl 07829885
The asymptotic relation between the first crossing point and the last exit time of Gaussian order statistics sequences. (English) Zbl 07803424
Conditional evaluations of sums of sample maxima and records. (English) Zbl 1535.60034
Reviewer: Fraser Daly (Edinburgh)
Long memory of max-stable time series as phase transition: asymptotic behaviour of tail dependence estimators. (English) Zbl 07784496
Linear Bayes estimator of the extreme value distribution based on type II censored samples. (English) Zbl 07773979
MSC:
62-XX
Extremal quantiles and stock price crashes. (English) Zbl 07773933
MSC:
62P20
Modern extreme value theory at the interface of risk management, Bayesian networks and heavy-tailed time series. (English) Zbl 1525.60065
Morel, Jean-Michel (ed.) et al., Mathematics going forward. Collected mathematical brushstrokes. Cham: Springer. Lect. Notes Math. 2313, 115-139 (2023).
Asymptotic predictive inference of negative lower tail index distributions. (English) Zbl 1524.60103
Monitoring largest extreme observations using Frechet distribution based on weighted variance method. (English) Zbl 07753692
MSC:
62-XX
Tropical support vector machines: evaluations and extension to function spaces. (English) Zbl 07751957
A nearest neighbor open-set classifier based on excesses of distance ratios. (English) Zbl 07746960
MSC:
62-XX
Reparameterization of extreme value framework for improved Bayesian workflow. (English) Zbl 1543.62150
MSC:
62-08
On the maximum penalized full likelihood approach for Cox model with extreme value for heavily censored survival data. (English) Zbl 07733984
Causal modelling of heavy-tailed variables and confounders with application to river flow. (English) Zbl 07730787
MSC:
62Exx
Multi-normex distributions for the sum of random vectors. Rates of convergence. (English) Zbl 1520.60009
A weighted composite log-likelihood approach to parametric estimation of the extreme quantiles of a distribution. (English) Zbl 07730784
Extreme value statistics and arcsine laws of Brownian motion in the presence of a permeable barrier. (English) Zbl 1517.60104
Bias reduction in kernel tail index estimation for randomly truncated Pareto-type data. (English) Zbl 07723378
On the disjoint and sliding block maxima method for piecewise stationary time series. (English) Zbl 1539.62264
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks. (English) Zbl 1520.91344
Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model. (English) Zbl 1520.91318
Some variations on the extremal index. (English) Zbl 1515.60163
J. Math. Sci., New York 273, No. 5, 687-704 (2023) and Zap. Nauchn. Semin. POMI 501, 52-77 (2021).
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