Invited article by M. Gidea: Extreme events and emergency scales

DOI10.1016/J.CNSNS.2020.105350zbMath1451.62048OpenAlexW3026042799WikidataQ95606339 ScholiaQ95606339MaRDI QIDQ2208167

Zhuanzhuan Ma, Veniamin Smirnov, Dimitri Volchenkov

Publication date: 23 October 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2020.105350

zbMATH Keywords

extreme eventsemergency scalesuncertainty of threshold

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Economic time series analysis (91B84)

Uses Software

• ismev
• longmemo
• Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Improved threshold diagnostic plots for extreme value analyses
• Multifractal detrended fluctuation analysis of nonstationary time series
• Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate
• Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
• A moment estimator for the index of an extreme-value distribution
• Reiss and Thomas' automatic selection of the number of extremes
• A discussion on mean excess plots
• Statistical inference using extreme order statistics
• Small-sample one-sided testing in extreme value regression models
• How to make a Hill plot.
• Dynamic asset trees and Black Monday
• Refined Pickands estimators of the extreme value index
• Multifractal detrended fluctuation analysis: practical applications to financial time series
• The beta Gumbel distribution
• Sur la distribution limite du terme maximum d'une série aléatoire
• The qq-estimator and heavy tails
• On optimising the estimation of high quantiles of a probability distribution
• Grammar of Complexity
• A system close to a threshold of instability
• A comparative review of generalizations of the Gumbel extreme value distribution with an application to wind speed data
• Sequential Selection Procedures and False Discovery Rate Control
• An introduction to statistical modeling of extreme values

This page was built for publication: Invited article by M. Gidea: Extreme events and emergency scales