A horse race between the block maxima method and the peak-over-threshold approach (Q2075692)

scientific article; zbMATH DE number 7473923

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English	A horse race between the block maxima method and the peak-over-threshold approach	scientific article; zbMATH DE number 7473923

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instance of

scholarly article

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title

A horse race between the block maxima method and the peak-over-threshold approach (English)

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15 February 2022

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full work available at URL

https://arxiv.org/abs/1807.00282

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zbMATH Keywords

extreme value statistics

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extreme value index

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extremal index

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stationary time series

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describes a project that uses

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Residual life time at great age

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Max-infinite divisibility

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An overview and open research topics in statistics of univariate extremes

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Statistics of Extremes

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Bias-corrected estimation of stable tail dependence function

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Weak convergence of a pseudo maximum likelihood estimator for the extremal index

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A note on nonparametric estimation of bivariate tail dependence

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Extreme value copula estimation based on block maxima of a multivariate stationary time series

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On the maximum likelihood estimator for the generalized extreme-value distribution

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Inference for heavy tailed stationary time series based on sliding blocks

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Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series

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On second order conditions in the multivariate block maxima and peak over threshold method

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On spatial extremes: with application to a rainfall problem

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A nonparametric estimation procedure for bivariate extreme value copulas

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Extreme quantile estimation for \(\beta\)-mixing time series and applications

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Q4892519

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Using a bootstrap method to choose the sample fraction in tail index estimation

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High-dimensional peaks-over-threshold inference

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A spectral representation for max-stable processes

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Q5485944

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Weak consistency of extreme value estimators in \(C[0,1]\)

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Adapting extreme value statistics to financial time series: dealing with bias and serial dependence

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Parametric tail copula estimation and model testing

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Limit theory for multivariate sample extremes

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Q4342744

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Exact simulation of Brown-Resnick random fields at a finite number of locations

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Existence and consistency of the maximum likelihood estimators for the extreme value index within the block maxima framework

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Exact simulation of max-stable processes

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Conditional simulation of max-stable processes

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Maximum likelihood estimators based on the block maxima method

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A bootstrap-based method to achieve optimality in estimating the extreme-value index

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On Smooth Statistical Tail Functionals

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Weighted approximations of tail processes for \(\beta\)-mixing random variables.

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Estimating failure probabilities

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On large deviation for extremes.

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How to make a Hill plot.

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On maximum likelihood estimation of the extreme value index.

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Best attainable rates of convergence for estimators of the stable tail dependence function

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Selecting the optimal sample fraction in univariate extreme value estimation

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Limit theorems for empirical processes of cluster functionals

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Nonparametric estimation of the spectral measure of an extreme value distribution.

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An M-estimator for tail dependence in arbitrary dimensions

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Asymptotic normality of extreme value estimators on \(C[0,1]\)

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Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion

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Peaks-over-threshold stability of multivariate generalized Pareto distributions

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The generalized Pareto process; with a view towards application and simulation

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On the block maxima method in extreme value theory: PWM estimators

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Inference for Clusters of Extreme Values

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Bias correction in multivariate extremes

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A semiparametric estimation procedure of dependence parameters in multivariate families of distributions

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Rank-based inference for bivariate extreme-value copulas

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On the covariance of the asymptotic empirical copula process

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max-infinitely divisible and max-stable sample continuous processes

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Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses

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Nonparametric estimation of multivariate extreme-value copulas

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A diagnostic for selecting the threshold in extreme value analysis

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Q3259350

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Best attainable rates of convergence for estimates of parameters of regular variation

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A simple general approach to inference about the tail of a distribution

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On tail index estimation using dependent data

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Extremal index estimation for a weakly dependent stationary sequence

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Space–Time Modelling of Extreme Events

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Likelihood estimators for multivariate extremes

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Modeling Spatial Processes with Unknown Extremal Dependence Class

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Stationary max-stable fields associated to negative definite functions

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On extreme values in stationary sequences

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Extremes and local dependence in stationary sequences

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On the multivariate extremal index

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Modelling pairwise dependence of maxima in space

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An efficient semiparametric maxima estimator of the extremal index

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Exact and fast simulation of max-stable processes on a compact set using the normalized spectral representation

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Likelihood-Based Inference for Max-Stable Processes

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Statistical inference using extreme order statistics

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Q3667778

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Approximate distributions of order statistics. With applications to nonparametric statistics

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Q3771297

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Tail index estimation for dependent data

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Inference for the limiting cluster size distribution of extreme values

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A sliding blocks estimator for the extremal index

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Weak convergence of the tail empirical process for dependent sequences

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Multivariate generalized Pareto distributions: parametrizations, representations, and properties

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Multivariate peaks over thresholds models

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Multivariate generalized Pareto distributions

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Non-parametric Estimation of Tail Dependence

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Q4298923

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Likelihood estimation of the extremal index

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Efficient inference and simulation for elliptical Pareto processes

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On blocks and runs estimators of the extremal index

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Nonparametric estimation of the dependence function for a multivariate extreme value distribution

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Multiple block sizes and overlapping blocks for multivariate time series extremes

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Identifiers

DOI

10.1214/20-STS795

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2075692