The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements

DOI10.46298/CM.13109MaRDI QIDQ6592005

Publication date: 23 August 2024

Published in: Communications in Mathematics (Search for Journal in Brave)

extreme value theory asymptotic distribution theory in statistics history of statistics of extremes in Portugal parametric and semi-parametric tail inference Portuguese School of Extremes and Applications

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Schools of mathematics (01A72)

Cites Work

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A simple generalisation of the Hill estimator
Competitive estimation of the extreme value index
Mean-of-order $p$ reduced-bias extreme value index estimation under a third-order framework
Tail fitting for truncated and non-truncated Pareto-type distributions
Semi-parametric tail inference through probability-weighted moments
Semi-parametric second-order reduced-bias high quantile estimation
Mixed moment estimator and location invariant alternatives
Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
Generalized Gumbel and likelihood ratio test statistics in the multivariate GEV model
Averages of Hill estimators
Bias reduction in risk modelling: semi-parametric quantile estimation
An interview with Ivette Gomes
Adaptive estimation of heavy right tails: resampling-based methods in action
A moment estimator for the index of an extreme-value distribution
Statistics of extremes under random censoring
Estimation of the extreme value index and extreme quantiles under random censoring
Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold
A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
Subsampling techniques and the jackknife methodology in the estimation of the extremal index
Extremes and related properties of random sequences and processes
Penultimate versus ultimate in statistical theory of extremes. A simulation study
Adaptive estimates of parameters of regular variation
Extremal processes. II
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Limiting forms of the frequency distribution of the largest or smallest member of a sample.
Sur la loi de probabilité de l'écart maximum.
A new partially reduced-bias mean-of-order $p$ class of extreme value index estimators
Selecting the optimal sample fraction in univariate extreme value estimation
Generalized jackknife semi-parametric estimators of the tail index
A class of asymptotically unbiased semi-parametric estimators of the tail index.
Bias reduction and explicit semi-parametric estimation of the tail index
Inference about the tail of a distribution: improvement on the Hill estimator
Estimating a tail exponent by modelling departure from a Pareto distribution
Approximation by penultimate extreme value distributions
Non-regular frameworks and the mean-of-order $p$ Extreme value index estimation
Penultimate limiting forms in extreme value theory
Modeling extreme events: sample fraction adaptive choice in parameter estimation
Revisiting the maximum likelihood estimation of a positive extreme value index
Estimation of a scale second-order parameter related to the PORT methodology
Penultimate approximations in statistics of extremes and reliability of large coherent systems
Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
Erratum to: ``Competitive estimation of the extreme value index.
Semi-parametric probability-weighted moments estimation revisited
A new class of estimators of a ``scale second order parameter
Improved reduced-bias tail index and quantile estimators
Asymptotic comparison of the mixed moment and classical extreme value index estimators
Sur la distribution limite du terme maximum d'une série aléatoire
The Latest Advances on the Hill Estimator and Its Modifications
A location-invariant probability weighted moment estimation of the Extreme Value Index
Extremes and recurrence in dynamical systems
Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
On an extreme value version of the Birnbaum-Saunders distribution
An overview and open research topics in statistics of univariate extremes
Non-Linear Time Series
High quantile estimation and the PORT methodology
Statistics of extremes in athletics
Refined Estimation of a Light Tail: An Application to Environmental Data
Reduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation Study
An asymptotically unbiased moment estimator of a negative extreme value index
Comparison at optimal levels of classical tail index estimators: a challenge for reduced-bias estimation?
Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology
New Reduced-bias Estimators of a Positive Extreme Value Index
NOTES ON BIAS IN ESTIMATION
Linear Estimation in Censored Samples from Multivariate Normal Populations
Concomitants and linear estimators in an i-dimensional extremal model
Randomly Stopped $${\varvec{k}}$$th Order Statistics
A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
PORT Hill and Moment Estimators for Heavy-Tailed Models
Tail index and second-order parameters’ semi-parametric estimation based on the log-excesses
Reduced‐bias tail index estimation and the jackknife methodology
Reduced-Bias Tail Index Estimators Under a Third-Order Framework
Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
The asymptotic theory of concomitants of order statistics
Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
Comparison of tail index estimators
Some results on the behaviour of hill's estimator
Statistical choice of extreme value domains of attraction — a comparative analysis
Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
How Can Non-invariant Statistics Work in Our Benefit in the Semi-parametric Estimation of Parameters of Rare Events
Maximum likelihood revisited under a semi-parametric context - estimation of the tail index
Adaptive PORT-MVRB Estimation of the Extreme Value Index
A Note on the Port Methodology in the Estimation of a Shape Second-Order Parameter
A Class of Semi-parametric Probability Weighted Moment Estimators
Bias reduction of a tail index estimator through an external estimation of the second-order parameter
Joint exceedances of the ARCH process
The total median in statistical quality control
A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application
On the comparison of several classical estimators of the extreme value index
Corrected-Hill versus partially reduced-bias value-at-risk estimation
Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” and a novel financial extreme value data analytics from natural disasters
Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
Forecasting and Assessing Risk of Individual Electricity Peaks
Corrections
Resampling Methodologies in the Field of Statistics of Univariate Extremes
A Semi-parametric Estimator of a Shape Second-Order Parameter
The MOP EVI-Estimator Revisited
A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
On Extreme Order Statistics
Nonparametric Analysis of Univariate Heavy‐Tailed Data
A simple second-order reduced bias’ tail index estimator
A heuristic adaptive choice of the threshold for bias-corrected Hill estimators
Extremal Processes
Extreme Values in Uniformly Mixing Stationary Stochastic Processes
A new family of life distributions
On the Distribution of the Maximum of Random Variables
Asymptotic Extremes for $m$-Dependent Random Variables
Parameter Estimation for the Truncated Pareto Distribution
Extreme Values in Samples from $m$-Dependent Stationary Stochastic Processes
Lehmer's mean-of-order- p extreme value index estimation: a simulation study and applications
Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
Using a bootstrap method to choose the sample fraction in tail index estimation
A bootstrap-based method to achieve optimality in estimating the extreme-value index
Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology
Extreme Value Theory and Statistics of Univariate Extremes: A Review
Limit laws for the maximum values of a class of strong mixing discrete random variables
Improvements in the estimation of the Weibull tail coefficient: a comparative study
Asymptotic comparison at optimal levels of reduced-bias extreme value index estimators

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