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Likelihood-Based Procedures for Threshold Diagnostics and Uncertainty in Extreme Value Modelling
14 references·4 citing·37 second hop
Likelihood-Based Procedures for Threshold Diagnostics and Uncertainty in Extreme Value Modelling (2012)Likelihood-Based Procedures for Threshold…Modelling Non-Stationary Extremes with Application to Surface Level Ozone (2008)Modelling Non-Stationary Extr…A hybrid Pareto model for asymmetric fat-tailed data: the univariate case (2008)A hybrid Pareto model for asy…Accounting for threshold uncertainty in extreme value estimation (2006)Accounting for threshold unce…Statistics of Extremes (2004)Statistics of ExtremesOn optimising the estimation of high quantiles of a probability distribution (2003)On optimising the estimation …A Dynamic Mixture Model for Unsupervised Tail Estimation without Threshold Selection (2002)A Dynamic Mixture Model for U…Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Using a Bootstrap Method to C…An Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…A Diagnostic for Selecting the Threshold in Extreme Value Analysis (2001)A Diagnostic for Selecting th…Tail Index Estimation and an Exponential Regression Model (1999)Tail Index Estimation and an …Exceedances over High Thresholds: A Guide to Threshold Selection (1999)Exceedances over High Thresho…Estimating a tail exponent by modelling departure from a Pareto distribution (1999)Estimating a tail exponent by…Asymptotically unbiased estimators for the extreme-value index (1998)Asymptotically unbiased estim…Models for Exceedances Over High Thresholds (1990)Models for Exceedances Over H…L-moments for automatic threshold selection in extreme value analysis (2020)L-moments for automatic thres…Peaks-Over-Threshold Modelling of Environmental Data (2014)Peaks-Over-Threshold Modellin…Improved threshold diagnostic plots for extreme value analyses (2014)Improved threshold diagnostic…Estimating Alarm Thresholds for Process Monitoring Data under Different Assumptions about the Data Generating Mechanism (2013)Estimating Alarm Thresholds f…Extreme Values, Regular Variation and Point Processes (1987)The Asymptotic Theory of Extreme Order Statistics (1990)Extreme Correlation of International Equity Markets (2001)Analysis of Financial Time Series (2006)The t Copula and Related Copulas (2007)Human Behavior and the Principle of Least Effort: An Introduction to Human Ecology. (1949)Human behavior and the principle of least effort: An introduction to human ecology. By George Kingsley Zipf. Pp. xi, 573. Cambridge, Mass.: Addison-Wesley Press, 1949. (1950)Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone (1989)Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2006)Extreme Value Theory and Statistics of Univariate Extremes: A Review (2014)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)How to make a Hill plot (2000)Statistics of Extremes (2015)Human behavior and the principle of least effort (1949)On Some Simple Estimates of an Exponent of Regular Variation (1982)On Exponential Representations of Log-Spacings of Extreme Order Statistics (2002)The Quantitative Modeling of Operational Risk: Between G-and-H and EVT (2007)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)ARCH modeling in finance (1992)Value-at-Risk and Extreme Returns (2000)Value-at-risk versus expected shortfall: A practical perspective (2004)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Extreme Value Theory : An Introduction (2006)Threshold modelling of spatially dependent non‐stationary extremes with application to hurricane‐induced wave heights (2011)Advances in statistical modeling of spatial extremes (2020)Modelling Time Series Extremes (2022)Residual Life Time at Great Age (1974)Extended generalised Pareto models for tail estimation (2012)Idea Generation and the Quality of the Best Idea (2010)Quantitative Risk Management (2011)Top Incomes in the Long Run of History (2011)Power Laws in Economics and Finance (2009)Statistical Modeling of Spatial Extremes (2012)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Extreme events: dynamics, statistics and prediction (2011)Frontiers in VaR forecasting and backtesting (2016)
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References

  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 1990Models for Exceedances Over High Thresholds1,725 cited
  • 2004Statistics of Extremes1,204 cited
  • 2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation452 cited
  • 1999Tail Index Estimation and an Exponential Regression Model275 cited
  • 1999Estimating a tail exponent by modelling departure from a Pareto distribution229 cited
  • 2008Modelling Non-Stationary Extremes with Application to Surface Level Ozone172 cited
  • 1999Exceedances over High Thresholds: A Guide to Threshold Selection171 cited
  • 2002A Dynamic Mixture Model for Unsupervised Tail Estimation without Threshold Selection167 cited
  • 2001A Diagnostic for Selecting the Threshold in Extreme Value Analysis131 cited
  • 2006Accounting for threshold uncertainty in extreme value estimation122 cited
  • 2003On optimising the estimation of high quantiles of a probability distribution113 cited
  • 2008A hybrid Pareto model for asymmetric fat-tailed data: the univariate case107 cited
  • 1998Asymptotically unbiased estimators for the extreme-value index103 cited

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  • 2014Improved threshold diagnostic plots for extreme value analyses

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50 cited
  • 2020L-moments for automatic threshold selection in extreme value analysis38 cited
  • 2014Peaks-Over-Threshold Modelling of Environmental Data37 cited
  • 2013Estimating Alarm Thresholds for Process Monitoring Data under Different Assumptions about the Data Generating Mechanism10 cited