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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: 531 Publications (since 1998)
References Indexed: 419 Publications with 10,864 References.
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Authors

15 Resnick, Sidney Ira
15 Tawn, Jonathan A.
13 Hashorva, Enkelejd
13 Hüsler, Jürg
13 Nadarajah, Saralees
12 Segers, Johan
11 de Haan, Laurens
11 Leal de Carvalho Gomes, Maria Ivette
10 Piterbarg, Vladimir Il’ich
10 Schlather, Martin
8 Beirlant, Jan
8 Dębicki, Krzysztof
8 Falk, Michael
8 Peng, Zuoxiang
7 Stephenson, Alec G.
7 Stoev, Stilian A.
6 Bose, Arup
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 Samorodnitsky, Gennady Pinkhosovich
6 Zhou, Chen
5 Coles, Stuart G.
5 Davis, Richard A.
5 Gangopadhyay, Sreela
5 Heffernan, Janet E.
5 Kabluchko, Zakhar A.
5 Kratz, Marie-France
5 Kulik, Rafał
5 Podgórski, Krzysztof
5 Reiss, Rolf-Dieter
5 Soulier, Philippe
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 Guillou, Armelle
4 Liu, Peng
4 Mao, Tiantian
4 Markovich, Natalia M.
4 Marohn, Frank
4 Naveau, Philippe
4 Oesting, Marco
4 Opitz, Thomas
4 Pakes, Anthony G.
4 Stupfler, Gilles
4 Tang, Qihe
4 Zholud, Dmitrii
3 Albrecher, Hansjörg
3 Anderson, Clive W.
3 Aulbach, Stefan
3 Barbe, Philippe
3 Cai, Juan-Juan
3 Canto e Castro, Luísa
3 Cooley, Daniel S.
3 Davison, Anthony C.
3 Dierckx, Goedele
3 Dupuis, Debbie J.
3 Einmahl, John H. J.
3 Goegebeur, Yuri
3 Gut, Allan
3 Hall, Andreia O.
3 Hooghiemstra, Gerard
3 Huser, Raphaël
3 Ji, Lanpeng
3 Jurečková, Jana
3 Kaufmann, Edgar
3 Li, Deyuan
3 Mai, Jan-Frederik
3 McCormick, William P.
3 Mercadier, Cécile
3 Mladenović, Pavle N.
3 Neves, Cláudia
3 Sarkar, Anish
3 Scherer, Matthias
3 Sisson, Scott A.
3 Tafakori, Laleh
3 Turkman, Kamil Feridun
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
2 Ancona-Navarrete, Miguel A.
2 Arnold, Barry Charles
2 Asmussen, Søren
2 Azaïs, Jean-Marc
2 Bacro, Jean-Noël
...and 542 more Authors

Publications by Year

Citations contained in zbMATH Open

400 Publications have been cited 3,904 times in 2,121 Documents Cited by Year
Dependence measures for extreme value analyses. Zbl 0972.62030
Coles, Stuart; Heffernan, Janet; Tawn, Jonathan
143
1999
Models for stationary max-stable random fields. Zbl 1035.60054
Schlather, Martin
95
2002
Tail index estimation and an exponential regression model. Zbl 0947.62034
Beirlant, J.; Dierckx, G.; Goegebeur, Y.; Matthys, G.
82
1999
Hidden regular variation, second order regular variation and asymptotic independence. Zbl 1035.60053
Resnick, Sidney
76
2003
Large deviations of heavy-tailed sums with applications in insurance. Zbl 0927.60037
Mikosch, T.; Nagaev, A. V.
72
1998
Randomly weighted sums of subexponential random variables with application to ruin theory. Zbl 1049.62017
Tang, Qihe; Tsitsiashvili, Gurami
68
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
59
2002
Sea and wind: multivariate extremes at work. Zbl 0921.62144
de Haan, Laurens; de Ronde, John
52
1998
A directory of coefficients of tail dependence. Zbl 0979.62040
Heffernan, Janet E.
48
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.
47
1999
Characterizations and examples of hidden regular variation. Zbl 1088.62066
Maulik, Krishanu; Resnick, Sidney
45
2004
Extreme value properties of multivariate \(t\) copulas. Zbl 1223.62081
Nikoloulopoulos, Aristidis K.; Joe, Harry; Li, Haijun
44
2009
The bootstrap methodology in statistics of extremes – choice of optimal sample fraction. Zbl 1023.62048
Gomes, M. Ivette; Oliveira, Orlando
43
2001
Multivariate extremes and the aggregation of dependent risks: examples and counter-examples. Zbl 1224.91057
Embrechts, Paul; Lambrigger, Dominik D.; Wüthrich, Mario V.
43
2009
Tail behavior of the product of two dependent random variables with applications to risk theory. Zbl 1329.62085
Yang, Yang; Wang, Yuebao
43
2013
On exponential representations of log-spacings of extreme order statistics. Zbl 1036.62040
Beirlant, J.; Dierckx, G.; Guillou, A.; Stǎricǎ, C.
40
2002
Exact simulation of Brown-Resnick random fields at a finite number of locations. Zbl 1319.60108
Dieker, A. B.; Mikosch, T.
40
2015
The asymptotic distribution of sums of records. Zbl 0931.60011
Arnold, Barry C.; Villaseñor, José A.
38
1999
Tail dependence from a distributional point of view. Zbl 1049.62055
Juri, Alessandro; Wüthrich, Mario V.
37
2003
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
36
2000
Extremal stochastic integrals: a parallel between max-stable processes and \(\alpha\)-stable processes. Zbl 1142.60355
Stoev, Stilian A.; Taqqu, Murad S.
34
2005
The subexponentiality of products revisited. Zbl 1142.60012
Tang, Qihe
33
2006
Estimation of the extreme value index and extreme quantiles under random censoring. Zbl 1157.62027
Beirlant, Jan; Guillou, Armelle; Dierckx, Goedele; Fils-Villetard, Amélie
32
2007
Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009
Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik
31
2006
Semi-parametric estimation for heavy tailed distributions. Zbl 1226.62053
Ciuperca, Gabriela; Mercadier, Cécile
30
2010
Randomly weighted sums of subexponential random variables with application to capital allocation. Zbl 1328.62089
Tang, Qihe; Yuan, Zhongyi
30
2014
Extreme value theory for queues via cycle maxima. Zbl 0926.60072
Asmussen, Søren
29
1998
Spectral representations of sum- and max-stable processes. Zbl 1224.60120
Kabluchko, Zakhar
29
2009
From light tails to heavy tails through multiplier. Zbl 1199.60040
Tang, Qihe
29
2008
Semi-parametric estimation of the second order parameter in statistics of extremes. Zbl 1039.62027
Gomes, M. Ivette; de Haan, Laurens; Peng, Liang
28
2003
Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels. Zbl 1238.62136
Gardes, Laurent; Girard, Stéphanie
27
2010
A dynamical mixture model for unsupervised tail estimation without threshold selection. Zbl 1039.62042
Frigessi, Arnoldo; Haug, Ola; Rue, Håvard
26
2003
Exceedances over high thresholds: a guide to threshold selection. Zbl 0921.62030
Dupuis, D. J.
25
1999
Large deviations of a storage process with fractional Brownian motion as input. Zbl 1003.60053
Piterbarg, Vladimir I.
25
2001
A new class of estimators of a “scale” second order parameter. Zbl 1164.62350
Caeiro, Frederico; Gomes, M. Ivette
24
2006
Simulation of Brown-Resnick processes. Zbl 1329.60157
Oesting, Marco; Kabluchko, Zakhar; Schlather, Martin
24
2012
Robust estimation of tail parameters for two-parameter Pareto and exponential models via generalized quantile statistics. Zbl 0979.62016
Brazauskas, Vytaras; Serfling, Robert
23
2000
Discrete and continuous time extremes of Gaussian processes. Zbl 1088.60051
Piterbarg, Vladimir I.
23
2004
Convex geometry of max-stable distributions. Zbl 1164.60003
Molchanov, Ilya
23
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
23
2008
Limiting distributions of linear programming estimators. Zbl 1008.62065
Knight, Keith
22
2001
Spatial regression models for extremes. Zbl 0935.62109
Casson, Edward; Coles, Stuart
22
1999
Simulating multivariate extreme value distributions of logistic type. Zbl 1055.65021
Stephenson, Alec
22
2003
Generalized Pickands constants and stationary max-stable processes. Zbl 1379.60041
Dębicki, Krzysztof; Engelke, Sebastian; Hashorva, Enkelejd
21
2017
Inequalities for the extremal coefficients of multivariate extreme value distributions. Zbl 1035.60013
Schlather, Martin; Tawn, Jonathan
20
2002
Robust and efficient estimation for the generalized Pareto distribution. Zbl 1091.62017
Juárez, Sergio F.; Shucany, William
20
2004
Extremes of independent Gaussian processes. Zbl 1329.60152
Kabluchko, Zakhar
20
2011
Exact tail asymptotics in bivariate scale mixture models. Zbl 1329.60150
Hashorva, Enkelejd
20
2012
On the infimum attained by the reflected fractional Brownian motion. Zbl 1306.60037
Dębicki, K.; Kosiński, K. M.
20
2014
Heavy tailed time series with extremal independence. Zbl 1333.60102
Kulik, Rafał; Soulier, Philippe
20
2015
A comparison of methods for estimating the extremal index. Zbl 0965.62044
Ancona-Navarrete, Miguel A.; Tawn, Jonathan A.
19
2000
Mixed moment estimator and location invariant alternatives. Zbl 1223.62075
Alves, M. Isabel Fraga; Gomes, M. Ivette; de Haan, Laurens; Neves, Cláudia
19
2009
Copulas: Tales and facts (with discussion). Zbl 1164.62355
Mikosh, Thomas
19
2006
Likelihood-based inference for extreme value model. Zbl 0938.62013
Coles, Stuart G.; Dixon, Mark K.
18
1999
Approximation by penultimate extreme value distributions. Zbl 0947.60019
Gomes, M. Ivette; de Haan, Laurens
18
1999
New estimators of the extreme value index under random right censoring, for heavy-tailed distributions. Zbl 1309.62093
Worms, Julien; Worms, Rym
18
2014
Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals. Zbl 1306.60033
Dębicki, Krzysztof; Hashorva, Enkelejd; Ji, Lanpeng
18
2014
Piterbarg theorems for chi-processes with trend. Zbl 1315.60042
Hashorva, Enkelejd; Ji, Lanpeng
18
2015
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
Testing extreme value conditions. Zbl 1035.60050
Dietrich, Daniel; de Haan, Laurens; Hüsler, Jürg
17
2002
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
Estimation of the conditional tail index using a smoothed local Hill estimator. Zbl 1302.62076
Gardes, Laurent; Stupfler, Gilles
17
2014
Likelihood estimation of the extremal index. Zbl 1150.62368
Süveges, Mária
17
2007
Robust estimation of the generalized Pareto distribution. Zbl 1008.62024
Peng, Liang; Welsh, A. H.
16
2001
A location invariant Hill-type estimator. Zbl 1053.62063
Fraga Alves, M. I.
16
2001
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
Conditional limit results for type I polar distributions. Zbl 1224.60031
Hashorva, Enkelejd
16
2009
Convolution and convolution-root properties of long-tailed distributions. Zbl 1327.60042
Xu, Hui; Foss, Sergey; Wang, Yuebao
16
2015
Asymptotic properties of type I elliptical random vectors. Zbl 1164.62002
Hashorva, Enkelejd
16
2007
Extreme shock models. Zbl 0962.60016
Gut, Allan; Hüsler, Jürg
15
1999
Estimation of a support curve via order statistics. Zbl 0979.62035
Gijbels, I.; Peng, L.
15
2000
Asymptotically (in)dependent multivariate maxima of moving maxima process. Zbl 1150.60030
Heffernan, Janet E.; Tawn, Jonathan A.; Zhang, Zhengjun
15
2007
On max-stable processes and the functional \(D\)-norm. Zbl 1295.60067
Aulbach, Stefan; Falk, Michael; Hofmann, Martin
14
2013
Accounting for the threshold uncertainity in extreme value estimation. Zbl 1164.62326
Tancredi, Andrea; Anderson, Clive; O’Hegan, Anthony
14
2006
Asymptotic expansion of Gaussian chaos via probabilistic approach. Zbl 1337.60031
Hashorva, Enkelejd; Korshunov, Dmitry; Piterbarg, Vladimir I.
14
2015
Extreme value copula estimation based on block maxima of a multivariate stationary time series. Zbl 1329.62222
Bücher, Axel; Segers, Johan
14
2014
Limit theorems for numbers of near records. Zbl 1164.62017
Pakes, Anthony G.
14
2007
Extremal behavior of diffusion models in finance. Zbl 0931.60036
Borkovec, Milan; Klüppelberg, Claudia
13
1998
Estimation of a bivariate extreme value distribution. Zbl 1008.62053
Capéraà, Philippe; Fougères, Anne-Laure
13
2000
Asymptotic expansions for the distribution of the maximum of Gaussian random fields. Zbl 1035.60035
Azaïs, Jean-Marc; Delmas, Céline
13
2002
Likelihood based confidence intervals for the tail index. Zbl 1036.62041
Lu, Jye-Chyi; Peng, Liang
13
2003
New estimators for the extremal index and other cluster characteristics. Zbl 1053.62065
Laurini, Fabrizio; Tawn, Jonathan A.
13
2003
Likelihood estimators for multivariate extremes. Zbl 1381.62067
Huser, Raphaël; Davison, Anthony C.; Genton, Marc G.
13
2016
Polar decomposition of regularly varying time series in star-shaped metric spaces. Zbl 1387.60087
Segers, Johan; Zhao, Yuwei; Meinguet, Thomas
13
2017
Second-order properties of risk concentrations without the condition of asymptotic smoothness. Zbl 1284.91523
Mao, Tiantian; Hu, Taizhong
13
2013
Extremes of independent chi-square random vectors. Zbl 1329.60028
Hashorva, Enkelejd; Kabluchko, Zakhar; Wübker, Achim
13
2012
Distribution of the height of local maxima of Gaussian random fields. Zbl 1319.60106
Cheng, Dan; Schwartzman, Armin
13
2015
High extrema of Gaussian chaos processes. Zbl 1339.60062
Piterbarg, Vladimir I.
13
2016
On extreme regression quantiles. Zbl 0959.62047
Portnoy, Stephen; Jurečková, Jana
12
1999
Non-parametric estimation of the limit dependence function. Zbl 0957.62044
Abdous, B.; Ghoudi, K.; Khoudraji, A.
12
1999
Asymptotics of maxima of discrete random variables. Zbl 1035.60032
Nadarajah, Saralees; Mitov, Kosto
12
2003
On a test statistic for linear trend. Zbl 1050.62085
Albin, J. M. P.; Jarušková, D.
12
2003
Asymptotic models and inference for extremes of spatio-temporal data. Zbl 1226.60083
Turkman, Kamil Feridun; Amaral Turkman, M. A.; Pereira, J. M.
12
2010
Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes. Zbl 1088.60014
Hüsler, J.
12
2004
On testing extreme value conditions. Zbl 1164.62352
Hüsler, Jürg; Li, Deyuan
12
2006
Statistics for tail processes of Markov chains. Zbl 1327.62322
Drees, Holger; Segers, Johan; Warchoł, Michał
12
2015
Adaptive estimation of heavy right tails: resampling-based methods in action. Zbl 1329.62230
Gomes, M. Ivette; Figueiredo, Fernanda; Neves, M. Manuela
12
2012
Mass distributions of two-dimensional extreme-value copulas and related results. Zbl 1359.62217
Trutschnig, Wolfgang; Schreyer, Manuela; Fernández-Sánchez, Juan
12
2016
A hybrid Pareto model for asymmetric fat-tailed data: the univariate case. Zbl 1223.62030
Carreau, Julie; Bengio, Yoshua
11
2009
Canonical spectral representation for exchangeable max-stable sequences. Zbl 1457.60053
Mai, Jan-Frederik
3
2020
Matrix Mittag-Leffler distributions and modeling heavy-tailed risks. Zbl 1450.62044
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens
3
2020
Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds. Zbl 1447.62050
Drees, Holger; Knežević, Miran
3
2020
Statistical inference for heavy tailed series with extremal independence. Zbl 07176050
Bilayi-Biakana, Clemonell; Kulik, Rafał; Soulier, Philippe
1
2020
Threshold selection and trimming in extremes. Zbl 1466.62318
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan
1
2020
On the study of extremes with dependent random right-censoring. Zbl 07061127
Stupfler, Gilles
4
2019
Managing local dependencies in asymptotic theory for maxima of stationary random fields. Zbl 1422.60086
Jakubowski, Adam; Soja-Kukieła, Natalia
4
2019
A nonparametric method for producing isolines of bivariate exceedance probabilities. Zbl 1428.62197
Cooley, Daniel; Thibaud, Emeric; Castillo, Federico; Wehner, Michael F.
4
2019
On maximum of Gaussian random field having unique maximum point of its variance. Zbl 07101830
Kobelkov, Sergey G.; Piterbarg, Vladimir I.
4
2019
Identifying groups of variables with the potential of being large simultaneously. Zbl 1420.62226
Chiapino, Maël; Sabourin, Anne; Segers, Johan
3
2019
Bias-corrected estimation for conditional Pareto-type distributions with random right censoring. Zbl 1429.62174
Goegebeur, Yuri; Guillou, Armelle; Qin, Jing
3
2019
On the accuracy of Poisson approximation. Zbl 1439.60024
Novak, S. Y.
2
2019
Consistency of Hill estimators in a linear preferential attachment model. Zbl 1432.60056
Wang, Tiandong; Resnick, Sidney I.
2
2019
Threshold selection for multivariate heavy-tailed data. Zbl 1418.62220
Wan, Phyllis; Davis, Richard A.
2
2019
Extremes of stationary random fields on a lattice. Zbl 07101829
Ling, Chengxiu
2
2019
Extremal dependence of random scale constructions. Zbl 1427.60097
Engelke, Sebastian; Opitz, Thomas; Wadsworth, Jennifer
1
2019
Estimation of extremes for Weibull-tail distributions in the presence of random censoring. Zbl 1434.62209
Worms, Julien; Worms, Rym
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
Extremes of spherical fractional Brownian motion. Zbl 07101831
Cheng, Dan; Liu, Peng
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
10
2018
The tail process revisited. Zbl 1417.60043
Planinić, Hrvoje; Soulier, Philippe
9
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
8
2018
Multivariate peaks over thresholds models. Zbl 1390.62083
Rootzén, Holger; Segers, Johan; Wadsworth, Jennifer L.
8
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
Multivariate extreme value copulas with factor and tree dependence structures. Zbl 1453.62494
Lee, David; Joe, Harry
4
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
Tail dimension reduction for extreme quantile estimation. Zbl 1396.62097
Gardes, Laurent
3
2018
An estimator of the stable tail dependence function based on the empirical beta copula. Zbl 1410.62073
Kiriliouk, Anna; Segers, Johan; Tafakori, Laleh
3
2018
Regular variation of a random length sequence of random variables and application to risk assessment. Zbl 1391.60120
Tillier, Charles; Wintenberger, Olivier
2
2018
Processes of \(r^{th}\) largest. Zbl 1403.60025
Buchmann, Boris; Maller, Ross; Resnick, Sidney I.
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
Wintenberger, Olivier
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
Generalized Pickands constants and stationary max-stable processes. Zbl 1379.60041
Dębicki, Krzysztof; Engelke, Sebastian; Hashorva, Enkelejd
21
2017
Polar decomposition of regularly varying time series in star-shaped metric spaces. Zbl 1387.60087
Segers, Johan; Zhao, Yuwei; Meinguet, Thomas
13
2017
Human life is unlimited – but short. Zbl 1387.62120
Rootzén, Holger; Zholud, Dmitrii
8
2017
The realization problem for tail correlation functions. Zbl 1369.60036
Fiebig, Ulf-Rainer; Strokorb, Kirstin; Schlather, Martin
7
2017
Clustering of high values in random fields. Zbl 1387.60084
Pereira, Luísa; Martins, Ana Paula; Ferreira, Helena
7
2017
Extremes of Gaussian random fields with regularly varying dependence structure. Zbl 1373.60069
Dȩbicki, Krzysztof; Hashorva, Enkelejd; Liu, Peng
6
2017
On the maximum likelihood estimator for the generalized extreme-value distribution. Zbl 1398.62056
Bücher, Axel; Segers, Johan
6
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
5
2017
On relative stability and weighted laws of large numbers. Zbl 1368.60010
Adler, André; Pakes, Anthony G.
4
2017
Maxima and minima of independent and non-identically distributed bivariate Gaussian triangular arrays. Zbl 1368.62037
Lu, Yingyin; Peng, Zuoxiang
4
2017
Excursion probabilities of isotropic and locally isotropic Gaussian random fields on manifolds. Zbl 1375.60078
Cheng, Dan
4
2017
On shape of high massive excursions of trajectories of Gaussian homogeneous fields. Zbl 1387.60065
Hüsler, Jürg; Piterbarg, Vladimir I.
4
2017
Characterization of tail distributions based on record values by using the Beurling’s Tauberian theorem. Zbl 1370.26006
El Arrouchi, Mohamed
3
2017
On the asymptotics of supremum distribution for some iterated processes. Zbl 1373.60066
Arendarczyk, Marek
3
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
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
A generalization of the maximal-spacings in several dimensions and a convexity test. Zbl 1382.60023
Aaron, Catherine; Cholaquidis, Alejandro; Fraiman, Ricardo
2
2017
Hidden regular variation under full and strong asymptotic dependence. Zbl 1381.28005
Das, Bikramjit; Resnick, Sidney I.
2
2017
Distribution-free inference in record series. Zbl 06829872
Hoayek, Anis S.; Ducharme, Gilles R.; Khraibani, Zaher
1
2017
Spatial risk measures and applications to max-stable processes. Zbl 1387.60086
Koch, Erwan
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.
13
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
8
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
8
2016
A complete convergence theorem for stationary regularly varying multivariate time series. Zbl 1357.60034
Basrak, Bojan; Tafro, Azra
7
2016
Multivariate subexponential distributions and their applications. Zbl 1385.60034
Samorodnitsky, Gennady; Sun, Julian
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
Tail fitting for truncated and non-truncated Pareto-type distributions. Zbl 1360.62244
Beirlant, Jan; Fraga Alves, Isabel; Gomes, Ivette
6
2016
Approximation and estimation of very small probabilities of multivariate extreme events. Zbl 1349.60037
de Valk, Cees
5
2016
Tail product-limit process for truncated data with application to extreme value index estimation. Zbl 1339.60027
Benchaira, Souad; Meraghni, Djamel; Necir, Abdelhakim
5
2016
Approximation of high quantiles from intermediate quantiles. Zbl 1349.60085
de Valk, Cees
4
2016
Erratum to: “Modeling clusters of extreme values”. Zbl 1383.62153
Markovich, Natalia M.
3
2016
Averaged extreme regression quantile. Zbl 1382.60079
Jurečková, Jana
2
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
2
2016
Bounds for randomly shared risk of heavy-tailed loss factors. Zbl 1396.91304
Kley, Oliver; Klüppelberg, Claudia
2
2016
A conditional limit theorem for a bivariate representation of a univariate random variable and conditional extreme values. Zbl 1357.60022
Barbe, Philippe; Seifert, Miriam Isabel
2
2016
Sup-norm convergence rates for Lévy density estimation. Zbl 1357.60051
Konakov, Valentin; Panov, Vladimir
2
2016
On the measurement and treatment of extremes in time series. Zbl 1359.62378
McElroy, Tucker
2
2016
Bayesian uncertainty management in temporal dependence of extremes. Zbl 1360.62246
Lugrin, Thomas; Davison, A. C.; Tawn, J. A.
2
2016
Extremes of independent stochastic processes: a point process approach. Zbl 1339.60061
Eyi-Minko, Frédéric; Dombry, Clément
2
2016
A characterization of the normal distribution using stationary max-stable processes. Zbl 1333.60100
Engelke, Sebastian; Kabluchko, Zakhar
1
2016
Functional weak convergence of partial maxima processes. Zbl 1333.60062
Krizmanić, Danijel
1
2016
Editorial: Special issue on time series extremes. Zbl 1355.00024
Kulik, Rafal
1
2016
Exact simulation of Brown-Resnick random fields at a finite number of locations. Zbl 1319.60108
Dieker, A. B.; Mikosch, T.
40
2015
Heavy tailed time series with extremal independence. Zbl 1333.60102
Kulik, Rafał; Soulier, Philippe
20
2015
Piterbarg theorems for chi-processes with trend. Zbl 1315.60042
Hashorva, Enkelejd; Ji, Lanpeng
18
2015
Convolution and convolution-root properties of long-tailed distributions. Zbl 1327.60042
Xu, Hui; Foss, Sergey; Wang, Yuebao
16
2015
Asymptotic expansion of Gaussian chaos via probabilistic approach. Zbl 1337.60031
Hashorva, Enkelejd; Korshunov, Dmitry; Piterbarg, Vladimir I.
14
2015
Distribution of the height of local maxima of Gaussian random fields. Zbl 1319.60106
Cheng, Dan; Schwartzman, Armin
13
2015
Statistics for tail processes of Markov chains. Zbl 1327.62322
Drees, Holger; Segers, Johan; Warchoł, Michał
12
2015
Tauberian theory for multivariate regularly varying distributions with application to preferential attachment networks. Zbl 1345.60118
Resnick, Sidney; Samorodnitsky, Gennady
9
2015
Tail correlation functions of max-stable processes. Zbl 1319.60118
Strokorb, Kirstin; Ballani, Felix; Schlather, Martin
9
2015
An efficient semiparametric maxima estimator of the extremal index. Zbl 1327.62325
Northrop, Paul J.
8
2015
On probability of high extremes for product of two independent Gaussian stationary processes. Zbl 1408.60031
Piterbarg, Vladimir I.; Zhdanov, Alexander
7
2015
Second-order properties of tail probabilities of sums and randomly weighted sums. Zbl 1327.60073
Mao, Tiantian; Ng, Kai Wang
6
2015
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Cited by 2,001 Authors

92 Hashorva, Enkelejd
50 Guillou, Armelle
48 Leal de Carvalho Gomes, Maria Ivette
36 Girard, Stéphane
36 Resnick, Sidney Ira
30 Dębicki, Krzysztof
30 Goegebeur, Yuri
29 Beirlant, Jan
29 Segers, Johan
29 Tan, Zhongquan
27 de Haan, Laurens
27 Nadarajah, Saralees
26 Peng, Liang
26 Peng, Zuoxiang
26 Šiaulys, Jonas
26 Tang, Qihe
24 Falk, Michael
24 Wang, Yuebao
22 Tawn, Jonathan A.
21 Gardes, Laurent
19 Drees, Holger
19 Ji, Lanpeng
17 Leipus, Remigijus
17 Mikosch, Thomas
17 Stoev, Stilian A.
16 Klüppelberg, Claudia
16 Li, Deyuan
16 Schlather, Martin
16 Stupfler, Gilles
15 Caeiro, Frederico
15 Ferreira, Helena
15 Hüsler, Jürg
15 Piterbarg, Vladimir Il’ich
15 Samorodnitsky, Gennady Pinkhosovich
14 Durante, Fabrizio
14 Embrechts, Paul
14 Joe, Harry
14 Qi, Yongcheng
14 Wang, Kaiyong
13 Chen, Yiqing
13 Davis, Richard A.
13 Dombry, Clément
13 Ling, Chengxiu
13 Liu, Peng
13 Robert, Christian Yann
12 Albrecher, Hansjörg
12 Bücher, Axel
12 Ferreira, Marta
12 Gao, Qingwu
12 Henriques-Rodrigues, Lígia
12 Li, Jinzhu
12 Zhang, Zhengjun
11 Asmussen, Søren
11 Das, Bikramjit
11 de Wet, Tertius
11 Fougères, Anne-Laure
11 Fraga Alves, M. Isabel
11 Huser, Raphaël
11 Kabluchko, Zakhar A.
11 Wang, Yizao
11 Withers, Christopher Stroude
10 Barakat, Haroon Mohamed
10 Davison, Anthony C.
10 Kulik, Rafał
10 Li, Haijun
10 Mao, Tiantian
10 Naveau, Philippe
10 Padoan, Simone A.
10 Yuen, Kam Chuen
9 Asimit, Alexandru V.
9 Bai, Long
9 Bose, Arup
9 Brazauskas, Vytaras
9 Cheng, Dongya
9 Daouia, Abdelaati
9 Diebolt, Jean
9 Jaworski, Piotr
9 Kortschak, Dominik
9 Mai, Jan-Frederik
9 Neves, Cláudia
9 Ng, Kai Wang
9 Pestana, Dinis Duarte
9 Reich, Brian James
9 Rootzén, Holger
9 Soulier, Philippe
9 Stehlík, Milan
9 Wadsworth, Jennifer L.
9 Wang, Dingcheng
9 Weng, Zhichao
9 Worms, Rym
8 Cooley, Daniel S.
8 Genest, Christian
8 Hofert, Marius
8 Hooghiemstra, Gerard
8 Hua, Lei
8 Jurečková, Jana
8 Liao, Xin
8 Markovich, Natalia M.
8 Martins, Ana Paula
8 Mercadier, Cécile
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Cited in 216 Journals

269 Extremes
162 Statistics & Probability Letters
102 Journal of Multivariate Analysis
87 Insurance Mathematics & Economics
74 Communications in Statistics. Theory and Methods
70 Journal of Statistical Planning and Inference
57 Journal of Applied Probability
56 Stochastic Processes and their Applications
56 Bernoulli
40 Advances in Applied Probability
39 Computational Statistics and Data Analysis
38 Test
37 Journal of Mathematical Analysis and Applications
34 Electronic Journal of Statistics
32 Lithuanian Mathematical Journal
32 Methodology and Computing in Applied Probability
29 The Annals of Statistics
29 Scandinavian Actuarial Journal
28 Statistics
27 The Annals of Applied Probability
21 The Annals of Applied Statistics
20 Journal of Theoretical Probability
18 Journal of Econometrics
18 Journal of Statistical Computation and Simulation
17 Stochastic Models
17 Dependence Modeling
16 Annals of the Institute of Statistical Mathematics
15 Journal of the American Statistical Association
15 Statistical Papers
14 The Annals of Probability
13 Journal of Applied Statistics
13 ASTIN Bulletin
13 Journal of Statistical Theory and Practice
13 Journal of Agricultural, Biological, and Environmental Statistics
12 Scandinavian Journal of Statistics
12 Journal of the Korean Statistical Society
11 Statistical Science
11 Science China. Mathematics
11 Statistics and Computing
10 Metrika
10 Communications in Statistics. Simulation and Computation
10 Australian & New Zealand Journal of Statistics
10 Brazilian Journal of Probability and Statistics
9 Kybernetika
9 Stochastic Analysis and Applications
9 Applied Mathematics. Series B (English Edition)
9 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
9 Probability in the Engineering and Informational Sciences
9 Quantitative Finance
9 North American Actuarial Journal
8 The Canadian Journal of Statistics
8 Journal of Statistical Physics
8 Journal of Computational and Applied Mathematics
8 Mathematical Problems in Engineering
8 Journal of Inequalities and Applications
8 Acta Mathematica Sinica. English Series
7 Theory of Probability and its Applications
7 Computational Statistics
7 Stochastic Environmental Research and Risk Assessment
7 Stochastics
7 Journal of Probability and Statistics
6 Probability Theory and Related Fields
6 Queueing Systems
6 Journal of Nonparametric Statistics
6 Finance and Stochastics
6 Econometric Theory
5 Mathematical Notes
5 Fuzzy Sets and Systems
5 Journal of Time Series Analysis
5 Journal of Mathematical Sciences (New York)
5 Abstract and Applied Analysis
5 Journal of the Royal Statistical Society. Series B. Statistical Methodology
5 Applied Stochastic Models in Business and Industry
5 Nonlinear Analysis. Modelling and Control
5 Statistical Methods and Applications
5 Journal of Industrial and Management Optimization
5 Statistical Methodology
5 Frontiers of Mathematics in China
5 AStA. Advances in Statistical Analysis
5 Modern Stochastics. Theory and Applications
4 Rocky Mountain Journal of Mathematics
4 Applied Mathematics and Computation
4 Mathematics and Computers in Simulation
4 Probability and Mathematical Statistics
4 European Journal of Operational Research
4 Theory of Probability and Mathematical Statistics
4 Mathematical Methods of Statistics
4 International Journal of Theoretical and Applied Finance
4 Comptes Rendus. Mathématique. Académie des Sciences, Paris
4 ALEA. Latin American Journal of Probability and Mathematical Statistics
4 Sankhyā. Series A
4 European Actuarial Journal
3 Moscow University Mathematics Bulletin
3 Information Sciences
3 Siberian Mathematical Journal
3 Statistica Neerlandica
3 Transactions of the American Mathematical Society
3 Chinese Annals of Mathematics. Series B
3 Acta Mathematicae Applicatae Sinica. English Series
3 Mathematical and Computer Modelling
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Cited in 45 Fields

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