• The last decade has seen development of a plethora of approaches for threshold estimation in extreme value applications. From a statistical perspective, the threshold is loosely defined such that th...
• Classical extreme value index estimators are known to be quite sensitive to the number k of top order statistics used in the estimation. The recently developed second order reduced-bias estimators s...
† In this paper we are interested in an adequate estimation of the dominant component of the bias of Hill’s estimator of a positive tail index ∞, in order to remove it from the classical Hill estimato...
type="main" xml:id="insr12058-abs-0001"> Statistical issues arising in modelling univariate extremes of a random sample have been successfully used in the most diverse fields, such as biometrics, fina...
[1] Underestimation of extreme values is a widely acknowledged issue in daily precipitation simulation. Nonparametric precipitation generators have inherent limitations in representing extremes. Param...
We apply extreme value theory to assess the tail dependence between three currency crisis measures and 18 economic indicators commonly used for predicting crises. In our pooled sample of 46 countries ...
We address the problem of estimating the Weibull tail-coefficient which is the regular variation exponent of the inverse failure rate function. We propose a family of estimators of this coefficient an...
This paper is devoted to tail index estimation in the context of survey data. Assuming that the population of interest is described by a heavy-tailed statistical model, we prove that the survey scheme...
This article develops a threshold system for monitoring airline performance. This threshold system divides the sample space into regions with increasing levels of risk and allows instant assessments o...
The peaks over random threshold (PORT) methodology and the Pareto probability weighted moments (PPWM) of the largest observations are used to build a class of location-invariant estimators of the Extr...
The main objective of statistics of univariate extremes lies in the estimation of quantities related to extreme events. In many areas of application, like finance, insurance and statistical quality co...
The main objective of statistics of extremes is the prediction of rare events, and its primary problem has been the estimation of the extreme value index (EVI). Whenever we are interested in large val...
The largest possible earthquake magnitude based on geographical characteristics for a selected return period is required in earthquake engineering, disaster management, and insurance. Ground-based obs...
The high quantile estimation of heavy tailed distributions has many important applications. There are theoretical difficulties in studying heavy tailed distributions since they often have infinite mom...
The estimation of the tail index is a very important issue within extreme value theory. Semi-parametric estimators usually require the choice of the number k of upper order statistics to use in the es...
The classical Hill estimator of a positive extreme value index (EVI) can be regarded as the logarithm of the geometric mean, or equivalently the logarithm of the mean of order p = 0 , of a set of adeq...
The authors examine the asymptotic behaviour of conditional threshold exceedance probabilities for an elliptically distributed pair (X, Y) of random variables. More precisely, they investigate the lim...
The appropriate choice of a threshold level, which separates the tails of the probability distribution of a random variable from its middle part, is considered to be a very complex and challenging tas...
The aim of this paper is to give a general model for predicting fatigue behavior for any stress level and range based on laboratory tests. More precisely, an existing Weibull model is generalized and ...
Resampling computer intensive methodologies, like the jackknife and the bootstrap are important tools for a reliable semi-parametric estimation of parameters of extreme or even rare events. Among thes...