SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Threshold Selection in Extreme Value Analysis
16 references·0 citing·30 second hop
Threshold Selection in Extreme Value Analysis (2016)Threshold Selection in Extreme Value Anal…Extreme Value Theory and Statistics of Univariate Extremes: A Review (2014)Extreme Value Theory and Stat…Statistics of Extremes: Theory and Applications (2004)Statistics of Extremes: Theor…“Asymptotically Unbiased” Estimators of the Tail Index Based on External Estimation of the Second Order Parameter (2002)“Asymptotically Unbiased” Est…Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Using a Bootstrap Method to C…The Bootstrap Methodology in Statistics of Extremes—Choice of the Optimal Sample Fraction (2001)The Bootstrap Methodology in …Statistical Analysis of Extreme Values: with Applications to Insurance, Finance, Hydrology and Other Fields (2001)Statistical Analysis of Extre…An Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…How to make a Hill plot (2000)How to make a Hill plotTail Index Estimation and an Exponential Regression Model (1999)Tail Index Estimation and an …Selecting the optimal sample fraction in univariate extreme value estimation (1998)Selecting the optimal sample …Smoothing the Hill Estimator (1997)Smoothing the Hill EstimatorThe qq-estimator and heavy tails (1996)The qq-estimator and heavy ta…Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics (1996)Tail Index Estimation, Pareto…Practical analysis of extreme values (1996)Practical analysis of extreme…Kernel Estimates of the Tail Index of a Distribution (1985)Kernel Estimates of the Tail …On Some Simple Estimates of an Exponent of Regular Variation (1982)On Some Simple Estimates of a…Models for Exceedances Over High Thresholds (1990)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Statistics of Extremes (2015)A Moment Estimator for the Index of an Extreme-Value Distribution (1989)Diagnostics for Dependence within Time Series Extremes (2003)Continuous Martingales and Brownian Motion (1991)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Parameter estimation for power-law distributions by maximum likelihood methods (2007)Econophysics review: I. Empirical facts (2011)Statistical Analysis of Extreme Values (2007)Are output growth‐rate distributions fat‐tailed? some evidence from OECD countries (2008)Power-law distributions in binned empirical data (2014)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)The variation of certain speculative prices (1997)Estimating a tail exponent by modelling departure from a Pareto distribution (1999)Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (1994)Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2009)Idea Generation and the Quality of the Best Idea (2010)Quantitative Risk Management (2011)Top Incomes in the Long Run of History (2011)Statistical Modeling of Spatial Extremes (2012)Tail Risk and Asset Prices (2014)Understanding Heterogeneity in Clinical Cohorts Using Normative Models: Beyond Case-Control Studies (2016)STATISTICS OF EXTREMES: MODELING ECOLOGICAL DISTURBANCES (2005)Extreme Value Theory and Value at Risk: Application to oil market (2009)
this work references cited by second hop

References

  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 2004Statistics of Extremes: Theory and Applications1,093 cited
  • 1982On Some Simple Estimates of an Exponent of Regular Variation564 cited
  • 2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation452 cited
  • 2001Statistical Analysis of Extreme Values: with Applications to Insurance, Finance, Hydrology and Other Fields422 cited
  • 1985Kernel Estimates of the Tail Index of a Distribution283 cited
  • 1999Tail Index Estimation and an Exponential Regression Model275 cited
  • 1998Selecting the optimal sample fraction in univariate extreme value estimation256 cited
  • 2000How to make a Hill plot238 cited
  • 1996Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics223 cited
  • 1996Practical analysis of extreme values214 cited
  • 1996The qq-estimator and heavy tails203 cited
  • 2014Extreme Value Theory and Statistics of Univariate Extremes: A Review197 cited
  • 1997Smoothing the Hill Estimator172 cited
  • 2002“Asymptotically Unbiased” Estimators of the Tail Index Based on External Estimation of the Second Order Parameter157 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2001The Bootstrap Methodology in Statistics of Extremes—Choice of the Optimal Sample Fraction133 cited
  • Cited by

    No citing works inside the corpus for this window.