Keywords: 62G32; 65C10; 60E07; Extreme-value copula; De Finetti's theorem; Lévy measure; Simulation; Stable tail dependence function;
مقالات ISI (ترجمه نشده)
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Keywords: 62G32; 62E15; Exceedances; Maxima; Stable tail dependence function; Tail copula; Linear combination;
Keywords: 62G32; Copula; Empirical beta copula; Empirical copula; Pickands dependence function; Weighted weak convergence;
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: 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;
A new flexible extreme value model for modeling the extreme value data, with an application to environmental data
Keywords: 62G32; 62G30; Extreme order statistics; Linear-power normalization; Generalized extreme value distribution; Generalized Pareto distribution; AccuWeather;
Local linear regression modelization when all variables are curves
Keywords: primary; 62G05; 62G08; 62G20; 62G35; 62G07; 62G32; 62G30; secondary; 62H12; Functional data analysis; Regression operator; Local linear estimation; Strong consistency; Functional nonparametric statistics; Functional response;
Keywords: primary; 60G70; secondary; 62G32; Generalized Pareto distribution; Peaks over threshold; Maximum likelihood estimator; Nonlinear least squares; Hill estimator;
Sparse representation of multivariate extremes with applications to anomaly detection
Keywords: 62H12; 62G32; Anomaly detection; Dimensionality reduction; Multivariate extremes; VC theory;
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: Fractional records; pivotal quantity; reconstruction interval; coverage probability; Monte Carlo simulation; 62E15; 62G30; 62G32; 62M20; 62F25;
Keywords: 60F17; 62G30; 62G32; 62P05; Extreme value index; Heavy-tails; Kernel estimation; Product-limit estimator; Random truncation;
Keywords: primary; 62P05; secondary; 62G32; Mixture distribution; Extreme behavior; Precipitation; Generalized Extreme distribution;
Keywords: Primary; 60G70; 62G32; 62H20; Asymptotic dependence/independence; Copula; Extreme Value Theory; Gumbel tail; Regular variation; Risk measure;
Keywords: 62G32; 62G05; 62E20Conditional Weibull tail-coefficient; Extreme quantiles; Nonparametric estimation
Keywords: 62G05; 62G20; 62G30; 62G32; 62N01; 62N02Extreme-value index; Random covariate; Random right-censoring; Consistency; Asymptotic normality
Keywords: 62G32; 62H12; 62G07; 62F15; 62N01; 62N02; 62P12Multivariate extremes; Censored data; Data augmentation; Semi-parametric Bayesian inference; MCMC algorithms
Keywords: 62J05; 62H12; 62G32; 62H20; 62G08Intermediate tail dependence; Quantile regression; Copula; Linear conditional quantiles; Systemic risk
Keywords: 62G32; 62F30Max-stable distributions; Multivariate extremes; Exponent measure; Inequalities; Constrained estimators
Keywords: G22; 60G70; 62G32; 62G20; 91B30; Random deflation; Value-at-Risk; Risk aggregation; Second-order regular variation; Estimation of tail probability;
Keywords: 62G32; Coefficient of tail dependence; Conditional analysis; The Heffernan-Tawn model; Multivariate extreme value theory; Quantile regression; Self-consistency;
Keywords: 62G32; 62G09
Keywords: primary; 60B20; 62G32; secondary; 60G55; 62H25; Random matrix theory; Heavy-tailed distribution; Random matrix with dependent entries; Largest singular value; Sample covariance matrix; Largest eigenvalue; Linear process; Random coefficient model;
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: Ensemble forecast; Air quality; Baltimore; Regression tree; Extreme value; Bootstrap; 62P12; 62G32;
Keywords: 62G05; 62G08; 62G20; 62G35; 62G07; 62G32; 62G30; Secondary 62E20Mean square relative error; Nonparametric estimation; Functional data; Regression operator; Positive responses; Asymptotic normality; Small ball property; Stock price; Economic data
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;
Data-driven kNN estimation in nonparametric functional data analysis
Keywords: primary; 62G05; 62G08; 62G20; 62G35; 62G07; 62G32; 62G30; secondary; 62H12; Functional data analysis; UINN consistency; Functional nonparametric statistics; kNN estimator; Data-driven estimator;
A Lynden-Bell integral estimator for extremes of randomly truncated data
Keywords: 62G32; 62G10; Extreme values index; Extreme quantiles; Truncated data; Lynden-Bell estimator;
UU-max-statistics and limit theorems for perimeters and areas of random polygons
Keywords: 60F05; 62G32; 62H11UU-max statistics; Weibull distribution; Random perimeter; Random area; Inscribed polygon
An asymptotically unbiased minimum density power divergence estimator for the Pareto-tail index
Keywords: 62G05; 62G20; 62G32; 62G35Pareto-type distribution; Tail index; Bias-correction; Density power divergence
Limit distribution of a roundoff error
Keywords: 60G70; 62G32; 60E05; 65G50Roundoff error; Tail probability; Hazard function; Distribution of fractional part of a random variable
Estimating an endpoint with high order moments in the Weibull domain of attraction
Keywords: 62G32; 62G05Endpoint estimation; High order moments; Consistency; Asymptotic normality
Exceedance probability of the integral of a stochastic process
Keywords: 62G32; 62M30; 60G70Extreme value theory; Max-stable processes; Pareto distribution; Tail probability estimation; Spatial dependence
The scaling limit of Poisson-driven order statistics with applications in geometric probability
Keywords: primary; 60F17; 60D05; 62G32; secondary; 60G55; 60H07; Chen-Stein method; Extreme values; Geometric probability; Integral geometry; Limit theorems; Malliavin calculus; Order statistics; Poisson flats; Poisson process approximation; Poisson space; Random
Bias-reduced estimators for bivariate tail modelling
Keywords: 62G32; 62H12; 62G20; Extreme value theory; Bivariate slowly varying function; Bias reduction;
Nonparametric functional data estimation applied to ozone data: Prediction and extreme value analysis
Keywords: 62G32; 62G08; 62P12Nonparametric functional estimation; Air-pollution; Ozone; Extreme values; Prediction
Analysis of high level ozone concentrations using nonparametric methods
Keywords: 62G32; 62G08; 62P12Nonparametric estimation; Air-pollution; Ozone; Extreme values
Nonparametric estimation of an extreme-value copula in arbitrary dimensions
Keywords: 60F17; 62G32; 62H20Empirical process; Linear regression; Minimum-variance estimator; Multivariate extreme-value distribution; Ordinary least squares; Pickands dependence function; Unit simplex
Modeling the yearly Value-at-Risk for operational risk in Chinese commercial banks
Keywords: 62F40; 62G32; 91B30; 65C05C15; C44; G21; G32Operational risk; Loss distribution approach; Multivariate t copula; Monte Carlo; Mixture distribution; Value-at-Risk
Limiting distributions of maxima under triangular schemes
Keywords: 62H05; 62G32; 60G70Extreme value distribution functions; Spectral density; Limiting distribution functions; Triangular schemes; Residual dependence
Functional nonparametric estimation of conditional extreme quantiles
Keywords: 62G32; 62G05; 62E20Conditional quantile; Extreme values; Nonparametric estimation; Functional data
Goodness-of-fit testing for Weibull-type behavior
Keywords: Extreme value statistics; Weibull-type model; Weibull-tail coefficient; Goodness-of-fit62G05; 62G20; 62G32
Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
Keywords: 62G32; 62G10; Extreme values; Heavy tails; Hill estimator; L-statistics; Risk premium;
Truncated sequential change-point detection based on renewal counting processes II
Keywords: primary 62G10;; 62G20; 62G32; 62L10; secondary 60F17;; 60G40; 60G70; 60J65; 60K05; Change-point; Training period; Extreme value asymptotics; First passage time; Increments; Renewal counting process; Sequential test; Stopping time; Strong approximation; Wi
Bootstrap approximation of tail dependence function
Keywords: 62G32; 62G09Bootstrap; Confidence band; Dependence function; Extremes; Tail empirical process
A moving window approach for nonparametric estimation of the conditional tail index
Keywords: 62G32; 62G05; 62E20Conditional tail index; Extreme values; Nonparametric estimation; Moving window
Goodness-of-fit tests for a heavy tailed distribution
Keywords: primary 62G30; 62G32; secondary 62G10Bahadur efficiency; Heavy tail; Tail index
Sharp bounds on expectations of second record increments from decreasing density families
Keywords: 62G30; 62G32; 60E15; Record statistics; Record increments; Bound; Projection; Decreasing density;