Found 1,543 Documents (Results 1–100)
Limit theorems for non-degenerate U-statistics of block maxima for time series. (English) Zbl 07904145
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)
Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles. (English) Zbl 1542.62009
Hypothesis testing for varying coefficient models in tail index regression. (English) Zbl 1541.62093
Complete left tail asymptotic for the density of branching processes in the Schröder case. (English) Zbl 07882013
Reviewer: Renming Song (Urbana)
MSC:
60J80
Improvements in the estimation of the Weibull tail coefficient: a comparative study. (English) Zbl 07871974
Conditional tail moment and reinsurance premium estimation under random right censoring. (English) Zbl 1541.62119
A gamma tail statistic and its asymptotics. (English) Zbl 07865175
Reviewer: Fraser Daly (Edinburgh)
Uniform-in-bandwidth consistency results in the partially linear additive model components estimation. (English) Zbl 07859013
Locally and globally uniform approximations for ruin probabilities of a nonstandard bidimensional risk model with subexponential claims. (English) Zbl 07852117
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
On a periodic branching random walk on \(\mathbb{Z}^{{d}}\) with an Infinite variance of jumps. (English. Russian original) Zbl 07842547
Theory Probab. Appl. 69, No. 1, 88-98 (2024); translation from Teor. Veroyatn. Primen. 69, No. 1, 112-124 (2024).
Weak convergence of the conditional \(U\)-statistics for locally stationary functional time series. (English) Zbl 07839692
The Burr distribution as an asymptotic law for extreme order statistics and its application to the analysis of statistical regularities in the interplanetary magnetic field. (English) Zbl 07835220
Weighted weak convergence of the sequential tail empirical process for heteroscedastic time series with an application to extreme value index estimation. (English) Zbl 07802701
Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance. (English) Zbl 07791016
Where does the tail start? Inflection Points and Maximum Curvature as Boundaries. arXiv:2409.06308
Preprint, arXiv:2409.06308 [math.ST] (2024).
An improved estimator of distortion risk premiums under dependence insured risks with heavy-tailed marginals. (English) Zbl 07834552
Asymptotic results on tail moment and tail central moment for dependent risks. (English) Zbl 07806760
Asymptotic subadditivity/superadditivity of value-at-risk under tail dependence. (English) Zbl 1531.91279
Weak mean attractors and invariant measures for stochastic Schrödinger delay lattice systems. (English) Zbl 1533.37159
On the distribution-tail behaviour of the product of normal random variables. (English) Zbl 1532.60021
Asymptotic predictive inference of negative lower tail index distributions. (English) Zbl 1524.60103
Asymptotical behavior of non-autonomous stochastic reaction-diffusion equations with variable delay on \(\mathbb{R}^N\). (English) Zbl 1526.35346
Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-Stationary arrivals. (English) Zbl 07753898
Computational aspects of the \(k\)NN local linear smoothing for some conditional models in high dimensional statistics. (English) Zbl 07739056
Uniform tail-ends estimates of the Navier-Stokes equations on unbounded channel-like domains. (English) Zbl 1522.35377
Residue expansions and saddlepoint approximations in stochastic models using the analytic continuation of generating functions. (English) Zbl 1517.60027
Bias reduction in kernel tail index estimation for randomly truncated Pareto-type data. (English) Zbl 07723378
Asymptotically autonomous robustness in probability of random attractors for stochastic Navier-Stokes equations on unbounded Poincaré domains. (English) Zbl 1523.37081
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
Uniform approximation for the tail behavior of bidimensional randomly weighted sums. (English) Zbl 1514.62035
Predictive inference of dual generalized order statistics from the inverse Weibull distribution. (English) Zbl 07697708
Nonlinear gradient mappings and stochastic optimization: a general framework with applications to heavy-tail noise. (English) Zbl 1519.90136
Weak-convergence of empirical conditional processes and conditional \(U\)-processes involving functional mixing data. (English) Zbl 07672039
Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses. (English) Zbl 1524.62519
Fine properties of solutions to the Cauchy problem for a fast diffusion equation with Caffarelli-Kohn-Nirenberg weights. (English) Zbl 1512.35389
Reviewer: Vincenzo Vespri (Firenze)
Correction to: “Integral functionals and the bootstrap for the tail empirical process”. (English) Zbl 07658858
Integral functionals and the bootstrap for the tail empirical process. (English) Zbl 07658857
Extremes 26, No. 1, 1-41 (2023); correction ibid. 26, No. 1, 43 (2023).
Extreme partial least-squares. (English) Zbl 1520.62040
On density functions related to discrete time maximum of some one-dimensional diffusion processes. (English) Zbl 1511.60116
Asymptotic theory for extreme value generalized additive models. arXiv:2303.02402
Preprint, arXiv:2303.02402 [math.ST] (2023).
Semiparametric tail index regression. (English) Zbl 07928161
MSC:
62P20
Ruin probabilities for two risk models with asymptotically independent and dependent classes. (English) Zbl 07840436
POT-based estimator of the ruin probability in infinite time for loss models: an application to insurance risk. (English) Zbl 1527.62080
Efficient estimation of partially linear tail index models using B-splines. (English) Zbl 1521.62058
Improved inference for the generalized Pareto distribution under linear, power and exponential normalization. (English) Zbl 07655864
Reviewer: Thorsten Dickhaus (Bremen)
Copula-based measures of asymmetry between the lower and upper tail probabilities. (English) Zbl 1502.62059
Uniform consistency and uniform in number of neighbors consistency for nonparametric regression estimates and conditional \(U\)-statistics involving functional data. (English) Zbl 1499.62125
Maximum composite likelihood estimation for spatial extremes models of Brown-Resnick type with application to precipitation data. (English) Zbl 1496.62164
Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework. (English) Zbl 1520.62039
Asymptotic dependence of in- and out-degrees in a preferential attachment model with reciprocity. (English) Zbl 1493.05280
Choice of smoothing parameter in multivariate copula-based tail coefficients. (English) Zbl 07560392
MSC:
62-XX
Uniform asymptotics for the compound risk model with dependence structures and constant force of interest. (English) Zbl 1490.91052
Consistency of Bayesian inference for multivariate max-stable distributions. (English) Zbl 1539.62132
Tail distortion risk measure for portfolio with multivariate regularly variation. (English) Zbl 1492.62164
Asymptotic risk decomposition for regularly varying distributions with tail dependence. (English) Zbl 1510.91148
Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution. (English) Zbl 1493.62260
On accompanying measures and asymptotic expansions in the B. V. Gnedenko limit theorem. (English. Russian original) Zbl 1491.60031
Theory Probab. Appl. 67, No. 1, 44-61 (2022); translation from Teor. Veroyatn. Primen. 67, No. 1, 57-80 (2022).
Modeling nonstationary temperature maxima based on extremal dependence changing with event magnitude. (English) Zbl 1498.62300
Asymptotic analysis of generalized Greenwood statistics for very heavy tails. (English) Zbl 1484.62054
Distribution tails of a history-dependent random linear recursion. (English) Zbl 1487.39025
Reviewer: Denis R. Bell (Jacksonville)
The kernel method tail asymptotics analytic approach for stationary probabilities of two-dimensional queueing systems. (English) Zbl 1490.60258
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