A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes

JOURNAL ARTICLE published September 2015 in Extremes

Authors: Laurent Gardes

New Estimators for the Extremal Index and Other Cluster Characteristics

JOURNAL ARTICLE published September 2003 in Extremes

Authors: Fabrizio Laurini | Jonathan A. Tawn

The extremal index for GARCH(1, 1) processes

JOURNAL ARTICLE published December 2012 in Extremes

Authors: Fabrizio Laurini | Jonathan A. Tawn

Extreme value distributions of inclusions in six steels

JOURNAL ARTICLE published June 2012 in Extremes

Authors: Jens Ekengren | Jens Bergström

Extreme value theory for anomaly detection – the GPD classifier

JOURNAL ARTICLE published December 2020 in Extremes

Authors: Edoardo Vignotto | Sebastian Engelke

Dependence modelling for spatial extremes

JOURNAL ARTICLE published 1 June 2012 in Biometrika

Authors: J. L. Wadsworth | J. A. Tawn

Self-consistent estimation of conditional multivariate extreme value distributions

JOURNAL ARTICLE published May 2014 in Journal of Multivariate Analysis

Authors: Y. Liu | J.A. Tawn

Relations between the spectral measures and dependence of MEV distributions

JOURNAL ARTICLE published March 2015 in Extremes

Authors: Tiantian Mao | Taizhong Hu

Influence measures and robust estimators of dependence in multivariate extremes

JOURNAL ARTICLE published December 2011 in Extremes

Authors: Yu-Ling Tsai | Duncan J. Murdoch | Debbie J. Dupuis

Sources of uncertainty in the extreme value statistics of climate data

JOURNAL ARTICLE published June 2010 in Extremes

Authors: Michael Wehner

Transition kernels and the conditional extreme value model

JOURNAL ARTICLE published June 2014 in Extremes

Authors: Sidney I. Resnick | David Zeber

Dependence Between Extreme Values of Discrete and Continuous Time Locally Stationary Gaussian Processes

JOURNAL ARTICLE published June 2004 in Extremes

Authors: J. H�sler

On the characteristic functions for extreme value distributions

JOURNAL ARTICLE published March 2013 in Extremes

Authors: Saralees Nadarajah | Tibor K. Pogány

JOURNAL ARTICLE published 1999 in Extremes

Authors: Edward Casson | Stuart Coles

Extremes and Exceedance Measures for Continuous Parameter Stationary Processes

BOOK CHAPTER published 1994 in Extreme Value Theory and Applications

Authors: M. R. Leadbetter

Estimation of the extreme value index and extreme quantiles under random censoring

JOURNAL ARTICLE published 19 November 2007 in Extremes

Authors: Jan Beirlant | Armelle Guillou | Goedele Dierckx | Amélie Fils-Villetard

Penalized quasi-maximum likelihood estimation for extreme value models with application to flood frequency analysis

JOURNAL ARTICLE published June 2021 in Extremes

Research funded by Deutsche Forschungsgemeinschaft (SFB 823)

Authors: Axel Bücher | Jona Lilienthal | Paul Kinsvater | Roland Fried

Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series

JOURNAL ARTICLE published September 2016 in Extremes

Research funded by ARO MURI (W911NF-12-1-0385) | Danish Research Council (DFF-4002-00435) | Danish Research Council (DFF-4002-00435)

Authors: Richard A. Davis | Johannes Heiny | Thomas Mikosch | Xiaolei Xie

Extreme value properties of multivariate t copulas

JOURNAL ARTICLE published June 2009 in Extremes

Authors: Aristidis K. Nikoloulopoulos | Harry Joe | Haijun Li

Accounting for threshold uncertainty in extreme value estimation

JOURNAL ARTICLE published 22 November 2006 in Extremes

Authors: Andrea Tancredi | Clive Anderson | Anthony O’Hagan