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Extremes

Statistical Theory and Applications in Science, Engineering and Economics

Short Title: Extremes
Publisher: Springer US, New York, NY
ISSN: 1386-1999; 1572-915X/e
Online: http://link.springer.com/journal/volumesAndIssues/10687
Comments: Indexed cover-to-cover
Documents Indexed: 560 Publications (since 1998)
References Indexed: 448 Publications with 11,780 References.
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Authors

16 Resnick, Sidney Ira
15 Tawn, Jonathan A.
14 Hashorva, Enkelejd
13 Hüsler, Jürg
13 Nadarajah, Saralees
13 Segers, Johan
11 de Haan, Laurens
11 Leal de Carvalho Gomes, Maria Ivette
10 Piterbarg, Vladimir Il’ich
10 Schlather, Martin
9 Dębicki, Krzysztof
9 Falk, Michael
8 Beirlant, Jan
8 Peng, Zuoxiang
8 Stephenson, Alec G.
7 Samorodnitsky, Gennady Pinkhosovich
7 Stoev, Stilian A.
6 Bose, Arup
6 Davis, Richard A.
6 Drees, Holger
6 Fraga Alves, M. Isabel
6 Girard, Stéphane
6 Klüppelberg, Claudia
6 Mikosch, Thomas
6 Peng, Liang
6 Rootzén, Holger
6 Rychlik, Igor
6 Soulier, Philippe
6 Zhou, Chen
5 Coles, Stuart G.
5 Gangopadhyay, Sreela
5 Guillou, Armelle
5 Heffernan, Janet E.
5 Kabluchko, Zakhar A.
5 Kratz, Marie-France
5 Kulik, Rafał
5 Opitz, Thomas
5 Podgórski, Krzysztof
5 Reiss, Rolf-Dieter
5 Wang, Yuebao
4 Bücher, Axel
4 Cheng, Dan
4 Das, Bikramjit
4 Dombry, Clément
4 Embrechts, Paul
4 Engelke, Sebastian
4 Fougères, Anne-Laure
4 Gardes, Laurent
4 Goegebeur, Yuri
4 Huser, Raphaël
4 Mao, Tiantian
4 Markovich, Natalia M.
4 Marohn, Frank
4 Naveau, Philippe
4 Oesting, Marco
4 Pakes, Anthony G.
4 Sisson, Scott A.
4 Stupfler, Gilles
4 Tang, Qihe
4 Zholud, Dmitrii
3 Albrecher, Hansjörg
3 Anderson, Clive W.
3 Aulbach, Stefan
3 Barbe, Philippe
3 Beranger, Boris
3 Cai, Juan-Juan
3 Canto e Castro, Luísa
3 Chenavier, Nicolas
3 Cooley, Daniel S.
3 Davison, Anthony C.
3 Dierckx, Goedele
3 Dupuis, Debbie J.
3 Einmahl, John H. J.
3 Genton, Marc G.
3 Gut, Allan
3 Hall, Andreia O.
3 Hooghiemstra, Gerard
3 Ji, Lanpeng
3 Jurečková, Jana
3 Kaufmann, Edgar
3 Korshunov, Dmitry Alekseevich
3 Li, Deyuan
3 Mai, Jan-Frederik
3 Maller, Ross Arthur
3 McCormick, William P.
3 Mercadier, Cécile
3 Mladenović, Pavle N.
3 Neves, Cláudia
3 Sarkar, Anish
3 Scherer, Matthias
3 Tafakori, Laleh
3 Turkman, Kamil Feridun
3 Wadsworth, Jennifer L.
3 Wan, Phyllis
3 Wintenberger, Olivier
3 Worms, Rym
3 Wüthrich, Mario Valentin
3 Zott, Maximilian
2 Albin, J. M. P.
2 Amaral Turkman, Maria Antónia
...and 579 more Authors

Publications by Year

Citations contained in zbMATH Open

422 Publications have been cited 4,240 times in 2,291 Documents Cited by Year
Dependence measures for extreme value analyses. Zbl 0972.62030
Coles, Stuart; Heffernan, Janet; Tawn, Jonathan
151
1999
Models for stationary max-stable random fields. Zbl 1035.60054
Schlather, Martin
102
2002
Tail index estimation and an exponential regression model. Zbl 0947.62034
Beirlant, J.; Dierckx, G.; Goegebeur, Y.; Matthys, G.
86
1999
Hidden regular variation, second order regular variation and asymptotic independence. Zbl 1035.60053
Resnick, Sidney
80
2003
Large deviations of heavy-tailed sums with applications in insurance. Zbl 0927.60037
Mikosch, T.; Nagaev, A. V.
79
1998
Randomly weighted sums of subexponential random variables with application to ruin theory. Zbl 1049.62017
Tang, Qihe; Tsitsiashvili, Gurami
72
2003
“Asymptotically unbiased” estimators of the tail index based on external estimation of the second order parameter. Zbl 1037.62044
Gomes, M. Ivette; Martins, M. João
61
2002
Sea and wind: multivariate extremes at work. Zbl 0921.62144
de Haan, Laurens; de Ronde, John
55
1998
Extreme value properties of multivariate \(t\) copulas. Zbl 1223.62081
Nikoloulopoulos, Aristidis K.; Joe, Harry; Li, Haijun
52
2009
A directory of coefficients of tail dependence. Zbl 0979.62040
Heffernan, Janet E.
51
2000
A bootstrap-based method to achieve optimality in estimating the extreme-value index. Zbl 0972.62014
Draisma, G.; de Haan, L.; Peng, L.; Pereira, T. T.
49
1999
Characterizations and examples of hidden regular variation. Zbl 1088.62066
Maulik, Krishanu; Resnick, Sidney
48
2004
Tail behavior of the product of two dependent random variables with applications to risk theory. Zbl 1329.62085
Yang, Yang; Wang, Yuebao
47
2013
Multivariate extremes and the aggregation of dependent risks: examples and counter-examples. Zbl 1224.91057
Embrechts, Paul; Lambrigger, Dominik D.; Wüthrich, Mario V.
46
2009
The bootstrap methodology in statistics of extremes – choice of optimal sample fraction. Zbl 1023.62048
Gomes, M. Ivette; Oliveira, Orlando
44
2001
Exact simulation of Brown-Resnick random fields at a finite number of locations. Zbl 1319.60108
Dieker, A. B.; Mikosch, T.
43
2015
On exponential representations of log-spacings of extreme order statistics. Zbl 1036.62040
Beirlant, J.; Dierckx, G.; Guillou, A.; Stǎricǎ, C.
42
2002
The asymptotic distribution of sums of records. Zbl 0931.60011
Arnold, Barry C.; Villaseñor, José A.
39
1999
Tail dependence from a distributional point of view. Zbl 1049.62055
Juri, Alessandro; Wüthrich, Mario V.
38
2003
Randomly weighted sums of subexponential random variables with application to capital allocation. Zbl 1328.62089
Tang, Qihe; Yuan, Zhongyi
37
2014
Alternatives to a semi-parametric estimator of parameters of rare events – the jackknife methodology. Zbl 0979.62038
Gomes, M. Ivette; Martins, M. João; Neves, Manuela
37
2000
The subexponentiality of products revisited. Zbl 1142.60012
Tang, Qihe
35
2006
Extremal stochastic integrals: a parallel between max-stable processes and \(\alpha\)-stable processes. Zbl 1142.60355
Stoev, Stilian A.; Taqqu, Murad S.
34
2005
Estimation of the extreme value index and extreme quantiles under random censoring. Zbl 1157.62027
Beirlant, Jan; Guillou, Armelle; Dierckx, Goedele; Fils-Villetard, Amélie
34
2007
Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009
Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik
32
2006
Spectral representations of sum- and max-stable processes. Zbl 1224.60120
Kabluchko, Zakhar
32
2009
Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels. Zbl 1238.62136
Gardes, Laurent; Girard, Stéphanie
32
2010
Semi-parametric estimation for heavy tailed distributions. Zbl 1226.62053
Ciuperca, Gabriela; Mercadier, Cécile
31
2010
Extreme value theory for queues via cycle maxima. Zbl 0926.60072
Asmussen, Søren
30
1998
Semi-parametric estimation of the second order parameter in statistics of extremes. Zbl 1039.62027
Gomes, M. Ivette; de Haan, Laurens; Peng, Liang
30
2003
From light tails to heavy tails through multiplier. Zbl 1199.60040
Tang, Qihe
29
2008
Exceedances over high thresholds: a guide to threshold selection. Zbl 0921.62030
Dupuis, D. J.
27
1999
A dynamical mixture model for unsupervised tail estimation without threshold selection. Zbl 1039.62042
Frigessi, Arnoldo; Haug, Ola; Rue, Håvard
27
2003
Large deviations of a storage process with fractional Brownian motion as input. Zbl 1003.60053
Piterbarg, Vladimir I.
25
2001
Discrete and continuous time extremes of Gaussian processes. Zbl 1088.60051
Piterbarg, Vladimir I.
25
2004
Simulation of Brown-Resnick processes. Zbl 1329.60157
Oesting, Marco; Kabluchko, Zakhar; Schlather, Martin
25
2012
Spatial regression models for extremes. Zbl 0935.62109
Casson, Edward; Coles, Stuart
24
1999
A new class of estimators of a “scale” second order parameter. Zbl 1164.62350
Caeiro, Frederico; Gomes, M. Ivette
24
2006
Limiting distributions of linear programming estimators. Zbl 1008.62065
Knight, Keith
24
2001
Robust estimation of tail parameters for two-parameter Pareto and exponential models via generalized quantile statistics. Zbl 0979.62016
Brazauskas, Vytaras; Serfling, Robert
24
2000
Convex geometry of max-stable distributions. Zbl 1164.60003
Molchanov, Ilya
24
2008
Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model. Zbl 1164.60006
Aleškevičiené, Aldona; Leipus, Remigijus; Šiaulus, Jones
24
2008
Simulating multivariate extreme value distributions of logistic type. Zbl 1055.65021
Stephenson, Alec
23
2003
Generalized Pickands constants and stationary max-stable processes. Zbl 1379.60041
Dębicki, Krzysztof; Engelke, Sebastian; Hashorva, Enkelejd
22
2017
Heavy tailed time series with extremal independence. Zbl 1333.60102
Kulik, Rafał; Soulier, Philippe
22
2015
Mixed moment estimator and location invariant alternatives. Zbl 1223.62075
Alves, M. Isabel Fraga; Gomes, M. Ivette; de Haan, Laurens; Neves, Cláudia
21
2009
New estimators of the extreme value index under random right censoring, for heavy-tailed distributions. Zbl 1309.62093
Worms, Julien; Worms, Rym
21
2014
A comparison of methods for estimating the extremal index. Zbl 0965.62044
Ancona-Navarrete, Miguel A.; Tawn, Jonathan A.
21
2000
Extremes of independent Gaussian processes. Zbl 1329.60152
Kabluchko, Zakhar
21
2011
Exact tail asymptotics in bivariate scale mixture models. Zbl 1329.60150
Hashorva, Enkelejd
21
2012
Likelihood-based inference for extreme value model. Zbl 0938.62013
Coles, Stuart G.; Dixon, Mark K.
20
1999
Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals. Zbl 1306.60033
Dębicki, Krzysztof; Hashorva, Enkelejd; Ji, Lanpeng
20
2014
On the infimum attained by the reflected fractional Brownian motion. Zbl 1306.60037
Dębicki, K.; Kosiński, K. M.
20
2014
Inequalities for the extremal coefficients of multivariate extreme value distributions. Zbl 1035.60013
Schlather, Martin; Tawn, Jonathan
20
2002
Likelihood estimation of the extremal index. Zbl 1150.62368
Süveges, Mária
20
2007
Robust and efficient estimation for the generalized Pareto distribution. Zbl 1091.62017
Juárez, Sergio F.; Shucany, William
20
2004
Copulas: Tales and facts (with discussion). Zbl 1164.62355
Mikosh, Thomas
19
2006
Estimation of the conditional tail index using a smoothed local Hill estimator. Zbl 1302.62076
Gardes, Laurent; Stupfler, Gilles
19
2014
Convolution and convolution-root properties of long-tailed distributions. Zbl 1327.60042
Xu, Hui; Foss, Sergey; Wang, Yuebao
19
2015
Approximation by penultimate extreme value distributions. Zbl 0947.60019
Gomes, M. Ivette; de Haan, Laurens
18
1999
Piterbarg theorems for chi-processes with trend. Zbl 1315.60042
Hashorva, Enkelejd; Ji, Lanpeng
18
2015
Testing extreme value conditions. Zbl 1035.60050
Dietrich, Daniel; de Haan, Laurens; Hüsler, Jürg
18
2002
Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions. Zbl 1164.62014
Gomes, M. Ivette; Canto e Castro, Luísa; Fraga Alves, Isabel M.; Pestana, Dinis
18
2008
Likelihood estimators for multivariate extremes. Zbl 1381.62067
Huser, Raphaël; Davison, Anthony C.; Genton, Marc G.
18
2016
Distance in random graphs with infinite mean degrees. Zbl 1120.05086
van den Esker, Henri; van der Hofstad, Remco; Hooghiemstra, Gerard; Znamenski, Dmitri
17
2005
Robust estimation of the generalized Pareto distribution. Zbl 1008.62024
Peng, Liang; Welsh, A. H.
17
2001
A location invariant Hill-type estimator. Zbl 1053.62063
Fraga Alves, M. I.
17
2001
Accounting for the threshold uncertainity in extreme value estimation. Zbl 1164.62326
Tancredi, Andrea; Anderson, Clive; O’Hegan, Anthony
16
2006
Conditional limit results for type I polar distributions. Zbl 1224.60031
Hashorva, Enkelejd
16
2009
Extreme value copula estimation based on block maxima of a multivariate stationary time series. Zbl 1329.62222
Bücher, Axel; Segers, Johan
16
2014
Detecting a conditional extreme value model. Zbl 1226.60078
Das, Bikramjit; Resnick, Sidney I.
16
2011
Limit theorems for extremes of strongly dependent cyclo-stationary \(\chi \)-processes. Zbl 1274.60077
Tan, Zhongquan; Hashorva, Enkelejd
16
2013
Asymptotically (in)dependent multivariate maxima of moving maxima process. Zbl 1150.60030
Heffernan, Janet E.; Tawn, Jonathan A.; Zhang, Zhengjun
16
2007
Asymptotic properties of type I elliptical random vectors. Zbl 1164.62002
Hashorva, Enkelejd
16
2007
Estimation of a support curve via order statistics. Zbl 0979.62035
Gijbels, I.; Peng, L.
15
2000
On max-stable processes and the functional \(D\)-norm. Zbl 1295.60067
Aulbach, Stefan; Falk, Michael; Hofmann, Martin
15
2013
Asymptotic expansions for the distribution of the maximum of Gaussian random fields. Zbl 1035.60035
Azaïs, Jean-Marc; Delmas, Céline
15
2002
Extreme shock models. Zbl 0962.60016
Gut, Allan; Hüsler, Jürg
15
1999
Limit theorems for numbers of near records. Zbl 1164.62017
Pakes, Anthony G.
15
2007
Statistics for tail processes of Markov chains. Zbl 1327.62322
Drees, Holger; Segers, Johan; Warchoł, Michał
15
2015
Polar decomposition of regularly varying time series in star-shaped metric spaces. Zbl 1387.60087
Segers, Johan; Zhao, Yuwei; Meinguet, Thomas
14
2017
New estimators for the extremal index and other cluster characteristics. Zbl 1053.62065
Laurini, Fabrizio; Tawn, Jonathan A.
14
2003
On extreme regression quantiles. Zbl 0959.62047
Portnoy, Stephen; Jurečková, Jana
14
1999
Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series. Zbl 1384.60023
Davis, Richard A.; Heiny, Johannes; Mikosch, Thomas; Xie, Xiaolei
14
2016
Asymptotic expansion of Gaussian chaos via probabilistic approach. Zbl 1337.60031
Hashorva, Enkelejd; Korshunov, Dmitry; Piterbarg, Vladimir I.
14
2015
Extremes of independent chi-square random vectors. Zbl 1329.60028
Hashorva, Enkelejd; Kabluchko, Zakhar; Wübker, Achim
14
2012
Extremal behavior of diffusion models in finance. Zbl 0931.60036
Borkovec, Milan; Klüppelberg, Claudia
13
1998
A continuous updating weighted least squares estimator of tail dependence in high dimensions. Zbl 1402.62088
Einmahl, John H. J.; Kiriliouk, Anna; Segers, Johan
13
2018
Second-order properties of risk concentrations without the condition of asymptotic smoothness. Zbl 1284.91523
Mao, Tiantian; Hu, Taizhong
13
2013
Distribution of the height of local maxima of Gaussian random fields. Zbl 1319.60106
Cheng, Dan; Schwartzman, Armin
13
2015
Extreme values for characteristic radii of a Poisson-Voronoi tessellation. Zbl 1316.60021
Calka, Pierre; Chenavier, Nicolas
13
2014
Estimation of a bivariate extreme value distribution. Zbl 1008.62053
Capéraà, Philippe; Fougères, Anne-Laure
13
2000
Asymptotic models and inference for extremes of spatio-temporal data. Zbl 1226.60083
Turkman, Kamil Feridun; Amaral Turkman, M. A.; Pereira, J. M.
13
2010
Asymptotics of maxima of discrete random variables. Zbl 1035.60032
Nadarajah, Saralees; Mitov, Kosto
13
2003
Likelihood based confidence intervals for the tail index. Zbl 1036.62041
Lu, Jye-Chyi; Peng, Liang
13
2003
Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes. Zbl 1088.60014
Hüsler, J.
13
2004
Adaptive estimation of heavy right tails: resampling-based methods in action. Zbl 1329.62230
Gomes, M. Ivette; Figueiredo, Fernanda; Neves, M. Manuela
13
2012
High extrema of Gaussian chaos processes. Zbl 1339.60062
Piterbarg, Vladimir I.
13
2016
On testing extreme value conditions. Zbl 1164.62352
Hüsler, Jürg; Li, Deyuan
12
2006
A hybrid Pareto model for asymmetric fat-tailed data: the univariate case. Zbl 1223.62030
Carreau, Julie; Bengio, Yoshua
12
2009
Critical branching processes in random environment with immigration: survival of a single family. Zbl 1473.60125
Smadi, Charline; Vatutin, Vladimir
2
2021
Poisson approximation in terms of the Gini-Kantorovich distance. Zbl 1481.60054
Novak, S. Y.
1
2021
Editorial: EVA 2019 data competition on spatio-temporal prediction of Red Sea surface temperature extremes. Zbl 1461.00065
1
2021
Assessing the risk of disruption of wind turbine operations in Saudi Arabia using Bayesian spatial extremes. Zbl 1466.62448
Chen, Wanfang; Castruccio, Stefano; Genton, Marc G.
1
2021
Functional strong laws of large numbers for Euler characteristic processes of extreme sample clouds. Zbl 1479.60065
Thomas, Andrew M.; Owada, Takashi
1
2021
Extreme value theory for spatial random fields – with application to a Lévy-driven field. Zbl 07449513
Stehr, Mads; Rønn-Nielsen, Anders
1
2021
Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds. Zbl 1447.62050
Drees, Holger; Knežević, Miran
5
2020
Matrix Mittag-Leffler distributions and modeling heavy-tailed risks. Zbl 1450.62044
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens
4
2020
Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \). Zbl 1457.60077
Korshunov, Dmitry; Wang, Longmin
3
2020
Canonical spectral representation for exchangeable max-stable sequences. Zbl 1457.60053
Mai, Jan-Frederik
3
2020
Exact asymptotics of component-wise extrema of two-dimensional Brownian motion. Zbl 1468.60100
Dȩbicki, Krzysztof; Ji, Lanpeng; Rolski, Tomasz
3
2020
Are extreme value estimation methods useful for network data? Zbl 1460.62085
Wan, Phyllis; Wang, Tiandong; Davis, Richard A.; Resnick, Sidney I.
2
2020
Statistical inference for heavy tailed series with extremal independence. Zbl 07176050
Bilayi-Biakana, Clemonell; Kulik, Rafał; Soulier, Philippe
1
2020
Simultaneous confidence bands for extremal quantile regression with splines. Zbl 1436.62151
Yoshida, Takuma
1
2020
On distributionally robust extreme value analysis. Zbl 1443.60051
Blanchet, Jose; He, Fei; Murthy, Karthyek
1
2020
Ordinal patterns in clusters of subsequent extremes of regularly varying time series. Zbl 1468.62343
Oesting, Marco; Schnurr, Alexander
1
2020
Threshold selection and trimming in extremes. Zbl 1466.62318
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan
1
2020
Consistency of Hill estimators in a linear preferential attachment model. Zbl 1432.60056
Wang, Tiandong; Resnick, Sidney I.
6
2019
Managing local dependencies in asymptotic theory for maxima of stationary random fields. Zbl 1422.60086
Jakubowski, Adam; Soja-Kukieła, Natalia
6
2019
A nonparametric method for producing isolines of bivariate exceedance probabilities. Zbl 1428.62197
Cooley, Daniel; Thibaud, Emeric; Castillo, Federico; Wehner, Michael F.
5
2019
On maximum of Gaussian random field having unique maximum point of its variance. Zbl 1473.60068
Kobelkov, Sergey G.; Piterbarg, Vladimir I.
5
2019
Bias-corrected estimation for conditional Pareto-type distributions with random right censoring. Zbl 1429.62174
Goegebeur, Yuri; Guillou, Armelle; Qin, Jing
5
2019
On the study of extremes with dependent random right-censoring. Zbl 1469.62255
Stupfler, Gilles
5
2019
Identifying groups of variables with the potential of being large simultaneously. Zbl 1420.62226
Chiapino, Maël; Sabourin, Anne; Segers, Johan
5
2019
Extremal dependence of random scale constructions. Zbl 1427.60097
Engelke, Sebastian; Opitz, Thomas; Wadsworth, Jennifer
4
2019
Estimation of extremes for Weibull-tail distributions in the presence of random censoring. Zbl 1434.62209
Worms, Julien; Worms, Rym
4
2019
On the accuracy of Poisson approximation. Zbl 1439.60024
Novak, S. Y.
4
2019
Extremes of stationary random fields on a lattice. Zbl 07101829
Ling, Chengxiu
3
2019
Threshold selection for multivariate heavy-tailed data. Zbl 1418.62220
Wan, Phyllis; Davis, Richard A.
3
2019
The tail dependograph. Zbl 1419.62172
Mercadier, Cécile; Roustant, Olivier
3
2019
The largest order statistics for the inradius in an isotropic STIT tessellation. Zbl 1427.60022
Chenavier, Nicolas; Nagel, Werner
1
2019
Improving precipitation forecasts using extreme quantile regression. Zbl 1434.62058
Velthoen, Jasper; Cai, Juan-Juan; Jongbloed, Geurt; Schmeits, Maurice
1
2019
Modeling extreme negative returns using marked renewal Hawkes processes. Zbl 1434.62177
Stindl, Tom; Chen, Feng
1
2019
On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails. Zbl 1434.62039
Stupfler, Gilles
1
2019
Extremes of spherical fractional Brownian motion. Zbl 07101831
Cheng, Dan; Liu, Peng
1
2019
The time of ultimate recovery in Gaussian risk model. Zbl 07101833
Dȩbicki, Krzysztof; Liu, Peng
1
2019
Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes. Zbl 1422.60030
Buhl, Sven; Klüppelberg, Claudia
1
2019
Ridge regression estimators for the extreme value index. Zbl 1422.60085
Buitendag, Sven; Beirlant, Jan; de Wet, Tertius
1
2019
A continuous updating weighted least squares estimator of tail dependence in high dimensions. Zbl 1402.62088
Einmahl, John H. J.; Kiriliouk, Anna; Segers, Johan
13
2018
The tail process revisited. Zbl 1417.60043
Planinić, Hrvoje; Soulier, Philippe
11
2018
INLA goes extreme: Bayesian tail regression for the estimation of high spatio-temporal quantiles. Zbl 1407.62167
Opitz, Thomas; Huser, Raphaël; Bakka, Haakon; Rue, Håvard
10
2018
Multivariate peaks over thresholds models. Zbl 1390.62083
Rootzén, Holger; Segers, Johan; Wadsworth, Jennifer L.
10
2018
Tail dimension reduction for extreme quantile estimation. Zbl 1396.62097
Gardes, Laurent
6
2018
Multivariate extreme value copulas with factor and tree dependence structures. Zbl 1453.62494
Lee, David; Joe, Harry
6
2018
Fitting phase-type scale mixtures to heavy-tailed data and distributions. Zbl 1396.60017
Bladt, Mogens; Rojas-Nandayapa, Leonardo
5
2018
Multivariate records and hitting scenarios. Zbl 1396.60057
Dombry, Clément; Zott, Maximilian
5
2018
Asymptotics of convolution with the semi-regular-variation tail and its application to risk. Zbl 1417.60014
Cui, Zhaolei; Omey, Edward; Wang, Wenyuan; Wang, Yuebao
4
2018
An estimator of the stable tail dependence function based on the empirical beta copula. Zbl 1410.62073
Kiriliouk, Anna; Segers, Johan; Tafakori, Laleh
4
2018
Processes of \(r^{th}\) largest. Zbl 1403.60025
Buchmann, Boris; Maller, Ross; Resnick, Sidney I.
3
2018
Regular variation of a random length sequence of random variables and application to risk assessment. Zbl 1391.60120
Tillier, Charles; Wintenberger, Olivier
3
2018
On the tail behavior of a class of multivariate conditionally heteroskedastic processes. Zbl 1396.60061
Pedersen, Rasmus Søndergaard; Wintenberger, Olivier
2
2018
Coupled continuous time random maxima. Zbl 1396.60058
Hees, Katharina; Scheffler, Hans-Peter
1
2018
Certain bivariate distributions and random processes connected with maxima and minima. Zbl 1396.60060
Kozubowski, Tomasz J.; Podgórski, Krzysztof
1
2018
Is human life limited or unlimited? (A discussion of the paper by Holger Rootzén and Dmitrii Zholud). Zbl 1402.62269
Ferreira, A.; Huang, F.
1
2018
Editorial: Special issue on the extreme value analysis conference challenge “prediction of extremal precipitation”. Zbl 1427.00081
1
2018
A Bayesian spatio-temporal model for precipitation extremes – STOR team contribution to the EVA2017 challenge. Zbl 1404.62133
Barlow, Anna Maria; Rohrbeck, Christian; Sharkey, Paul; Shooter, Rob; Simpson, Emma S.
1
2018
Extreme value estimation for discretely sampled continuous processes. Zbl 1408.62094
Drees, Holger; de Haan, Laurens; Turkman, Feridun
1
2018
Prediction of catastrophes in space over time. Zbl 1417.60026
Baxevani, Anastassia; Wilson, Richard
1
2018
Generalized Pickands constants and stationary max-stable processes. Zbl 1379.60041
Dębicki, Krzysztof; Engelke, Sebastian; Hashorva, Enkelejd
22
2017
Polar decomposition of regularly varying time series in star-shaped metric spaces. Zbl 1387.60087
Segers, Johan; Zhao, Yuwei; Meinguet, Thomas
14
2017
On the maximum likelihood estimator for the generalized extreme-value distribution. Zbl 1398.62056
Bücher, Axel; Segers, Johan
9
2017
Human life is unlimited – but short. Zbl 1387.62120
Rootzén, Holger; Zholud, Dmitrii
8
2017
Clustering of high values in random fields. Zbl 1387.60084
Pereira, Luísa; Martins, Ana Paula; Ferreira, Helena
7
2017
The realization problem for tail correlation functions. Zbl 1369.60036
Fiebig, Ulf-Rainer; Strokorb, Kirstin; Schlather, Martin
7
2017
Statistical post-processing of forecasts for extremes using bivariate Brown-Resnick processes with an application to wind gusts. Zbl 1373.86016
Oesting, Marco; Schlather, Martin; Friederichs, Petra
7
2017
Extremes of Gaussian random fields with regularly varying dependence structure. Zbl 1373.60069
Dȩbicki, Krzysztof; Hashorva, Enkelejd; Liu, Peng
6
2017
On relative stability and weighted laws of large numbers. Zbl 1368.60010
Adler, André; Pakes, Anthony G.
5
2017
Maxima and minima of independent and non-identically distributed bivariate Gaussian triangular arrays. Zbl 1368.62037
Lu, Yingyin; Peng, Zuoxiang
5
2017
On shape of high massive excursions of trajectories of Gaussian homogeneous fields. Zbl 1387.60065
Hüsler, Jürg; Piterbarg, Vladimir I.
4
2017
On the asymptotics of supremum distribution for some iterated processes. Zbl 1373.60066
Arendarczyk, Marek
4
2017
Excursion probabilities of isotropic and locally isotropic Gaussian random fields on manifolds. Zbl 1375.60078
Cheng, Dan
4
2017
Clusters of extremes: modeling and examples. Zbl 1421.62128
Markovich, Natalia M.
3
2017
Functional limit theorems for the maxima of perturbed random walk and divergent perpetuities in the \(M_1\)-topology. Zbl 1379.60037
Iksanov, Alexander; Pilipenko, Andrey; Samoilenko, Igor
3
2017
An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion. Zbl 1387.60056
Dębicki, Krzysztof; Kosiński, Kamil M.
3
2017
Characterization of tail distributions based on record values by using the Beurling’s Tauberian theorem. Zbl 1370.26006
El Arrouchi, Mohamed
3
2017
A generalization of the maximal-spacings in several dimensions and a convexity test. Zbl 1382.60023
Aaron, Catherine; Cholaquidis, Alejandro; Fraiman, Ricardo
2
2017
Spatial risk measures and applications to max-stable processes. Zbl 1387.60086
Koch, Erwan
2
2017
Hidden regular variation under full and strong asymptotic dependence. Zbl 1381.28005
Das, Bikramjit; Resnick, Sidney I.
2
2017
A general estimator for the right endpoint with an application to supercentenarian women’s records. Zbl 1367.62160
Fraga Alves, Isabel; Neves, Cláudia; Rosário, Pedro
2
2017
Implicit extremes and implicit max-stable laws. Zbl 1373.60055
Scheffler, Hans-Peter; Stoev, Stilian
2
2017
Maximum loss and maximum gain of spectrally negative Lévy processes. Zbl 1373.60074
Vardar-Acar, Ceren; Çağlar, Mine
2
2017
Distribution-free inference in record series. Zbl 06829872
Hoayek, Anis S.; Ducharme, Gilles R.; Khraibani, Zaher
1
2017
Extreme values of the uniform order 1 autoregressive processes and missing observations. Zbl 1387.60085
Glavaš, Lenka; Mladenović, Pavle; Samorodnitsky, Gennady
1
2017
Conditional extreme value models: fallacies and pitfalls. Zbl 1380.60053
Drees, Holger; Janßen, Anja
1
2017
Likelihood estimators for multivariate extremes. Zbl 1381.62067
Huser, Raphaël; Davison, Anthony C.; Genton, Marc G.
18
2016
Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series. Zbl 1384.60023
Davis, Richard A.; Heiny, Johannes; Mikosch, Thomas; Xie, Xiaolei
14
2016
High extrema of Gaussian chaos processes. Zbl 1339.60062
Piterbarg, Vladimir I.
13
2016
Mass distributions of two-dimensional extreme-value copulas and related results. Zbl 1359.62217
Trutschnig, Wolfgang; Schreyer, Manuela; Fernández-Sánchez, Juan
12
2016
Extremes of stationary Gaussian storage models. Zbl 1339.60060
Dębicki, Krzysztof; Liu, Peng
10
2016
Anisotropic Brown-Resnick space-time processes: estimation and model assessment. Zbl 1357.62279
Buhl, Sven; Klüppelberg, Claudia
9
2016
Multivariate subexponential distributions and their applications. Zbl 1385.60034
Samorodnitsky, Gennady; Sun, Julian
9
2016
Tail fitting for truncated and non-truncated Pareto-type distributions. Zbl 1360.62244
Beirlant, Jan; Fraga Alves, Isabel; Gomes, Ivette
8
2016
A complete convergence theorem for stationary regularly varying multivariate time series. Zbl 1357.60034
Basrak, Bojan; Tafro, Azra
8
2016
Tail product-limit process for truncated data with application to extreme value index estimation. Zbl 1339.60027
Benchaira, Souad; Meraghni, Djamel; Necir, Abdelhakim
7
2016
Weak properties and robustness of t-Hill estimators. Zbl 1354.62002
Jordanova, Pavlina; Fabián, Zdeněk; Hermann, Philipp; Střelec, Luboš; Rivera, Andrés; Girard, Stéphane; Torres, Sebastián; Stehlík, Milan
6
2016
Approximation of high quantiles from intermediate quantiles. Zbl 1349.60085
de Valk, Cees
5
2016
Approximation and estimation of very small probabilities of multivariate extreme events. Zbl 1349.60037
de Valk, Cees
5
2016
Extremes of independent stochastic processes: a point process approach. Zbl 1339.60061
Eyi-Minko, Frédéric; Dombry, Clément
4
2016
Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework. Zbl 1357.62211
Caeiro, Frederico; Gomes, M. Ivette; Beirlant, Jan; de Wet, Tertius
3
2016
Bounds for randomly shared risk of heavy-tailed loss factors. Zbl 1396.91304
Kley, Oliver; Klüppelberg, Claudia
3
2016
...and 322 more Documents
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Cited by 2,166 Authors

97 Hashorva, Enkelejd
53 Guillou, Armelle
49 Leal de Carvalho Gomes, Maria Ivette
43 Yang, Yang
38 Girard, Stéphane
38 Resnick, Sidney Ira
34 Dębicki, Krzysztof
32 Segers, Johan
31 Goegebeur, Yuri
31 Tan, Zhongquan
30 Beirlant, Jan
30 Nadarajah, Saralees
28 de Haan, Laurens
28 Peng, Zuoxiang
27 Peng, Liang
26 Šiaulys, Jonas
26 Tang, Qihe
25 Falk, Michael
24 Wang, Yuebao
23 Tawn, Jonathan A.
21 Drees, Holger
21 Gardes, Laurent
21 Ji, Lanpeng
19 Mikosch, Thomas
19 Stupfler, Gilles
17 Ferreira, Helena
17 Klüppelberg, Claudia
17 Leipus, Remigijus
17 Li, Deyuan
17 Stoev, Stilian A.
16 Caeiro, Frederico
16 Huser, Raphaël
16 Samorodnitsky, Gennady Pinkhosovich
16 Schlather, Martin
15 Ferreira, Marta
15 Hüsler, Jürg
15 Piterbarg, Vladimir Il’ich
15 Wang, Kaiyong
14 Bücher, Axel
14 Davis, Richard A.
14 Dombry, Clément
14 Durante, Fabrizio
14 Embrechts, Paul
14 Joe, Harry
14 Ling, Chengxiu
14 Qi, Yongcheng
14 Robert, Christian Yann
13 Albrecher, Hansjörg
13 Chen, Yiqing
13 Das, Bikramjit
13 Gao, Qingwu
13 Henriques-Rodrigues, Lígia
13 Li, Jinzhu
12 Reich, Brian James
12 Wang, Yizao
12 Zhang, Zhengjun
11 Asmussen, Søren
11 de Wet, Tertius
11 Fougères, Anne-Laure
11 Fraga Alves, M. Isabel
11 Genton, Marc G.
11 Kabluchko, Zakhar A.
11 Kulik, Rafał
11 Padoan, Simone A.
11 Wang, Dingcheng
11 Withers, Christopher Stroude
10 Barakat, Haroon Mohamed
10 Davison, Anthony C.
10 Genest, Christian
10 Li, Haijun
10 Mao, Tiantian
10 Mercadier, Cécile
10 Naveau, Philippe
10 Neves, Cláudia
10 Pestana, Dinis Duarte
10 Soulier, Philippe
10 Wadsworth, Jennifer L.
10 Weng, Zhichao
10 Worms, Rym
10 Yuen, Kam Chuen
9 Ahmadi, Jafar
9 Asimit, Alexandru V.
9 Bai, Long
9 Bose, Arup
9 Brazauskas, Vytaras
9 Cheng, Dongya
9 Daouia, Abdelaati
9 Diebolt, Jean
9 Heiny, Johannes
9 Jaworski, Piotr
9 Kortschak, Dominik
9 Liao, Xin
9 Mai, Jan-Frederik
9 Ng, Kai Wang
9 Opitz, Thomas
9 Rootzén, Holger
9 Sisson, Scott A.
9 Stehlík, Milan
9 Stephenson, Alec G.
9 Wang, Shijie
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Cited in 234 Journals

289 Extremes
170 Statistics & Probability Letters
103 Journal of Multivariate Analysis
90 Insurance Mathematics & Economics
88 Communications in Statistics. Theory and Methods
71 Journal of Statistical Planning and Inference
63 Stochastic Processes and their Applications
59 Journal of Applied Probability
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25 The Annals of Applied Statistics
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19 Stochastic Models
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16 Annals of the Institute of Statistical Mathematics
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10 Metrika
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8 The Canadian Journal of Statistics
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6 AStA. Advances in Statistical Analysis
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5 Electronic Journal of Probability
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5 Journal of the Royal Statistical Society. Series B. Statistical Methodology
5 Applied Stochastic Models in Business and Industry
5 Journal of Industrial and Management Optimization
5 Statistical Methodology
5 ALEA. Latin American Journal of Probability and Mathematical Statistics
5 Frontiers of Mathematics in China
5 Probability Surveys
4 Rocky Mountain Journal of Mathematics
4 Siberian Mathematical Journal
4 European Journal of Operational Research
4 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
4 Theory of Probability and Mathematical Statistics
4 Mathematical Methods of Statistics
4 Doklady Mathematics
4 International Journal of Theoretical and Applied Finance
4 Comptes Rendus. Mathématique. Académie des Sciences, Paris
4 Sankhyā. Series A
4 European Actuarial Journal
3 Journal of Mathematical Physics
3 Moscow University Mathematics Bulletin
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