On high level exceedance modeling and tail inference

DOI10.1016/0378-3758(94)00075-1zbMath0819.60050OpenAlexW2129367662MaRDI QIDQ1890883

M. Ross Leadbetter

Publication date: 15 August 1995

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(94)00075-1

zbMATH Keywords

extreme valuescentral limit theorytail estimationexceedance modeling

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)

Related Items (8)

A distribution estimation method based on level crossings ⋮ Inference for Clusters of Extreme Values ⋮ On the number of near-maximum insurance claim under dependence. ⋮ Estimation of extreme values by the average conditional exceedance rate method ⋮ Modeling of claim exceedances over random thresholds for related insurance portfolios ⋮ Limit theorems for empirical processes of cluster functionals ⋮ On the asymptotic distribution of certain bivariate reinsurance treaties ⋮ Some aspects of extreme value statistics under serial dependence

Cites Work

• Convergence of sums of mixing triangular arrays of random vectors with stationary rows
• On the exceedance point process for a stationary sequence
• Limit theorems for strongly mixing stationary random measures
• On tail index estimation using dependent data
• On a basis for peaks over threshold modeling
• Statistical inference using extreme order statistics
• The central limit problem for mixing sequences of random variables
• A Comparison Method for Distribution Functions of Sums of Independent and Dependent Random Variables
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