Thresholding Events of Extreme in Simultaneous Monitoring of Multiple Risks

DOI10.1198/jasa.2009.ap08329zbMath1388.62298OpenAlexW2008602203MaRDI QIDQ5254714

Regina Y. Liu, John H. J. Einmahl, Jun Li

Publication date: 10 June 2015

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jasa.2009.ap08329

zbMATH Keywords

multiple risksmultivariate extreme value theoryextreme quantileaviation safetythreshold system

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Reliability and life testing (62N05)

Related Items (8)

Estimating extreme bivariate quantile regions ⋮ Sparse representation of multivariate extremes with applications to anomaly detection ⋮ Spectral Density Ratio Models for Multivariate Extremes ⋮ Estimation of extreme risk regions under multivariate regular variation ⋮ Parametric and non-parametric estimation of extreme earthquake event: the joint tail inference for mainshocks and aftershocks ⋮ A nonparametric method for producing isolines of bivariate exceedance probabilities ⋮ Semiparametric bivariate modelling with flexible extremal dependence ⋮ Robust quantile estimation under bivariate extreme value models

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