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ChapterExtreme Value Statistics

Laurens de Haan1994

Chapter1994

Extreme Value Statistics

Laurens de Haan

78 citations·0/0 files stored·Springer eBooks

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Probability and Risk Models Flood Risk Assessment and Management Statistical Distribution Estimation and Applications

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References

1989A Moment Estimator for the Index of an Extreme-Value Distribution 1987Estimating Tails of Probability Distributions 1982On Some Simple Estimates of an Exponent of Regular Variation 1982Laws of Large Numbers for Sums of Extreme Values 1990The tail index of exchange rate returns 1993On the estimation of high quantiles 1994On the maximal life span of humans

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2003Subsampling the distribution of diverging statistics with applications to finance

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2008Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributionsarticle · 6 shared references 1998Estimating the tail indexchapter · 5 shared references 2003High volatility, thick tails and extreme value theory in value-at-risk estimationarticle · 4 shared references 1991The limiting distribution of extremal exchange rate returnsarticle · 4 shared references 1993Optimal Choice of Sample Fraction in Extreme-Value Estimationarticle · 4 shared references 2007Estimation of the extreme value index and extreme quantiles under random censoringarticle · 4 shared references

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Year1994

Typechapter

Published1994-01-01

VenueSpringer eBooks

Languageen

Citations78

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/978-1-4613-3638-9_6

openalex_workW69380337

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