Keywords: 60G70; 60J05; 60F05; Stochastic extremes; Phantom distribution function; Relative extremal index; Random walk Metropolis algorithm; Coupling; Harris chains;
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Keywords: primary; 26A12; 26A15; 60E10; secondary; 60G10; 60G12; 60G15; 60G70; Covariance function; Extreme value theory; Modulo of continuity; Regular variation; Slow variation;
Keywords: 60E15; 60G70; Entropy; Maximal inequality; Orlicz function; Convex duality; Generalized Holder's inequality;
Keywords: 60G70; Multivariate extreme value models; Tail dependence; Extremal coefficients; Random fields;
Keywords: 60J80; 60G70; Galton-Watson process with immigration; Regularly varying distribution;
Keywords: primary; 60C05; secondary; 60G70; Random permutations; Sum of consecutive terms; Extreme values;
Keywords: primary; 60F05; 60G70; 62G32; secondary; 37A25; 62M30; Brown-Resnick process; Empirical extremogram; Extremogram; Max-moving average process; Max-stable process; Random field; Spatial CLT; Spatial mixing;
Keywords: 60E05; 60G50; 60G70; 62E15; 62F10; Clayton copula; Common background risk; Dependence by mixing; Generalized Pareto distribution; Risk measures; Tail conditional expectation;
Keywords: primary; 60G15; secondary; 60G70; Max-stable process; Spectral tail process; Brown-Resnick stationary; Dieker-Mikosch representation; Inf-argmax representation; Pickands constants; Tilt-shift formula; Extremal index;
Keywords: primary; 62G05; 62G20; 62G32; secondary; 60F05; 60G70; Asymptotic tail independence; Consistency; Expected shortfall; Heavy-tail; Hidden regular variation; Mean excess; Multivariate regular variation; Systemic risk;
Keywords: primary; 60G15; 60F10; secondary; 60G70; Gaussian process; High excursions; Minima; Precise asymptotics;
Keywords: primary; 60B20; secondary; 60F05; 60F10; 60G10; 60G55; 60G70; Sample correlation matrix; Infinite fourth moment; Largest eigenvalue; Smallest eigenvalue; Spectral distribution; Sample covariance matrix; Self-normalization; Regular variation; Combinatorics
Keywords: 60G15; 82B41; 60G70; 62G30; 60G55; 60G57; Gaussian Free Field; Extremal values; Liouville quantum gravity; Poisson process; Entropic repulsion; Freezing;
Finite time Parisian ruin of an integrated Gaussian risk model
Keywords: primary; 60G15; secondary; 60G70; Integrated Gaussian process; Parisian ruin; Method of moments; Exact asymptotics;
Second-order expansions for maxima of dynamic bivariate normal copulas
Keywords: primary; 62E20; 60G70; secondary; 60F15; 60F05; Dynamic bivariate normal copula; Maximum; Second-order expansion;
Parisian ruin of the Brownian motion risk model with constant force of interest
Keywords: primary; 60G15; secondary; 60G70; Parisian ruin; Ruin probability; Ruin time; Brownian motion;
An offspring of multivariate extreme value theory: The max-characteristic function
Keywords: primary; 60E10; secondary; 60F99; 60G70; Multivariate extreme-value theory; Max-characteristic function; Wasserstein metric; Convergence;
Weak convergence of multivariate partial maxima processes
Keywords: 60F17; 60G52; 60G70; Functional limit theorem; Regular variation; Weak M1 topology; Extremal process; Weak convergence; Multivariate GARCH;
Keywords: primary; 60G70; secondary; 62G32; Generalized Pareto distribution; Peaks over threshold; Maximum likelihood estimator; Nonlinear least squares; Hill estimator;
Properties of extremal dependence models built on bivariate max-linearity
Keywords: 60G70; 62G32; 62E20; 62G20; Bivariate extremes; Max-linear models; Extremal dependence; Asymptotic independence;
Keywords: Random Fourier series; Spinodal decomposition; Maximum norm; Numerical experiments; Modeling extremal values; 60H15; 42A16; 60G17; 60G50; 60G70;
Keywords: primary; 52A22; 60D05; 60G50; secondary; 60G09; 52C35; 20F55; 52B11; 60G70; Convex hull of random walk; Random polytope; Absorption probability; Exchangeability; Hyperplane arrangement; Weyl chamber;
Keywords: 60F10; 60G50; 60G70; 60J10; Longest run; Large deviation principle; Bernoulli trail; Markov chain;
Keywords: Primary; 60G70; 62G32; 62H20; Asymptotic dependence/independence; Copula; Extreme Value Theory; Gumbel tail; Regular variation; Risk measure;
Keywords: 60G70; 60F17; 60G55; 60F05; Extreme value theory; Random number of random variables; Point process; Renewal process; Renewal stopping; Extremal process;
Keywords: 60G70; 60F17; 62G30; Bivariate extremes; Extreme values; Random truncation; Tail dependence;
Keywords: 60F99; 60G70; Extreme Value Theory; Long-tailed distribution; Gumbel tail; Kendall's tau; Order statistics; Pearson product-moment correlation coefficient; Regular variation; Spearman's rho;
Keywords: 62E10; 60E05; 60G70; Conditional copula; Univariate conditioning; Truncation of the first variable; Tail dependence function; Vine copulas;
Keywords: 60G70; Multivariate extreme value theory; Factor models; Tail dependence;
Keywords: primary; 60G15; secondary; 60G70; Gaussian process; Conjunction; Extremes; Double-sum method; Slepian lemma; Borell-TIS inequality; Piterbarg inequality; Generalized Pickands constant; Generalized Piterbarg constant; Pickands-Piterbarg lemma;
Keywords: 37A50; 60G70; 37B20; 60G10; 37C25Extreme value theory; Return time statistics; Stationary stochastic processes; Metastability
Keywords: primary; 60G15; secondary; 60G70; Stationary Gaussian processes; Order statistics processes; Conjunction; Extremes; Berman sojourn limit theorem; Generalized Pickands constant;
Keywords: primary; 62H20; secondary; 60G70; Bivariate skew-t distribution; Asymptotic tail dependence coefficient; Quantile function; Convergence rate;
Keywords: 60G70; 62G20; 62G32Asymptotic independence; Residual dependence coefficient; Sample clouds; Limit set; Multivariate density; Geometric approach
Keywords: G22; 60G70; 62G32; 62G20; 91B30; Random deflation; Value-at-Risk; Risk aggregation; Second-order regular variation; Estimation of tail probability;
Keywords: primary; 60G70; secondary; 60J05; Max-stable process; Markov property; Max-autoregressive process;
Keywords: 60G70; 65C05Randomly censoring; Coefficient of tail dependence; Large claims; Small tail probability; Concomitant order statistics; Bivariate Hall-class
Keywords: 60D05; 60G70; 60G55; 60F05; 62G32; Random tessellations; Extreme values; Order statistics; Dependency graph; Poisson approximation; Voronoi flower; Poisson point process; Gauss-Poisson point process;
Keywords: 60G50; 60G70; 60F10; 60F05; Extreme value theory; Increments of random walks; ErdÅs-Rényi law; Large deviations; Moderate deviations; Multiscale scan statistic; Cramér series; Gumbel distribution; Double sum method; Subgaussian distributions; Change-
Keywords: primary; 60G15; secondary; 60G70; Shepp statistics; Scan statistics; Exact asymptotics; Extremes; Fractional Brownian motion;
Keywords: 60G70; 60G15; Almost sure limit theorem; Maximum; Stationary Gaussian process; Smooth Gaussian process;
Keywords: 60G70; 62E20; 62H20; AC-product distribution; Sarmanov distribution; Random deflators; Risk aggregation; Ruin probability;
Keywords: primary; 60K05; 60K15; 91B30; secondary; 60G70; 60J55; Reinsurance; Portfolio; Partial information; Malliavin calculus;
Keywords: primary; 60G70; secondary; 60G10; 60F99; Mortality rates; AR-ARCH random field; Estimation; QMLE; Inference;
Keywords: 60G70; 62E20Extreme value theory; Intermediate order statistics; Domains of attraction; Power normalization
Keywords: 60G70; 60D05; 60G57; 91B16Capacity; Choquet integral; Choquet random sup-measure; Comonotonic additive functional; Complete alternation; Continuous choice; Extremal coefficient; Extremal integral; LePage series; Max-stability; Random set; Sup-measure; Tai
On the domain of attraction of a Tracy-Widom law with applications to testing multiple largest roots
Keywords: 60G70; 62E20; 62H15; Characteristic root; Equality of covariance matrices; Greatest root statistic; Gumbel distribution; MANOVA; Multiple testing; Multiway data; Tracy-Widom laws; Union-intersection test;
Extremes of q-Ornstein-Uhlenbeck processes
Keywords: primary; 60G70; secondary; 60J25; Markov process; Self-similar process; Tangent process; Excursion probability; Double-sum method; Brown-Resnick process; Semi-min-stable process; q-Ornstein-Uhlenbeck process;
A high quantile estimator based on the log-generalized Weibull tail limit
Keywords: High quantile; Hill estimator; Log-generalized Weibull tail limit; Log-GW tail index; 60G70; 62G32; 62G20;
Asymptotics of the order statistics for a process with a regenerative structure
Keywords: 60G70; 60K99; 60J05; Asymptotics; Order statistics; Regenerative process; Phantom distribution function;