Zobrazeno 1 - 10
of 129
pro vyhledávání: '"Armelle Guillou"'
Publikováno v:
Revstat Statistical Journal, Vol 12, Iss 2 (2014)
A strong statistical research effort has been devoted in multivariate extreme value theory in order to assess the strength of dependence among extremes. This topic is particularly difficult in the case where block maxima are near independence. In thi
Externí odkaz:
https://doaj.org/article/d063e3f9b42f48f69721913382f25fdd
Publikováno v:
Revstat Statistical Journal, Vol 8, Iss 1 (2010)
In order to estimate extreme quantiles from independent and identically distributed random variables, we propose and study a novel folding procedure that improves quantile estimates obtained from the classical Peaks-Over-Threshold method (POT) used i
Externí odkaz:
https://doaj.org/article/ab93e54e6a094bdca827eb915fcd5ef4
Publikováno v:
Revstat Statistical Journal, Vol 6, Iss 1 (2008)
In 1985 Hosking et al. estimated with the so-called Probability-Weighted Moments (PWM) method the parameters of the Generalized Extreme Value (GEV) distribution, the latter being classically fitted to maxima of sequences of independent and identicall
Externí odkaz:
https://doaj.org/article/e9c84211b0724f758c0a3975e814b888
Autor:
Jean Diebolt, Armelle Guillou
Publikováno v:
Revstat Statistical Journal, Vol 3, Iss 1 (2005)
The P.O.T. (Peaks-Over-Threshold) approach consists of using the generalized Pareto distribution (GPD) to approximate the distribution of excesses over thresholds. We use the maximum likelihood estimators, or some other ones satisfying regularity con
Externí odkaz:
https://doaj.org/article/538def404bc84ccabcc5135ab2c67b66
Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
Publikováno v:
Insurance: Mathematics and Economics. 107:102-122
Publikováno v:
Insurance: Mathematics and Economics
Insurance: Mathematics and Economics, Elsevier, 2022, 102, pp.1-21. ⟨10.1016/j.insmatheco.2021.11.001⟩
Insurance: Mathematics and Economics, Elsevier, 2022, 102, pp.1-21. ⟨10.1016/j.insmatheco.2021.11.001⟩
International audience; Being able to compare risk measures in practice is crucial in many applications such as in finance, insurance or environmental science. The difficulty is that the variables of interest are not always of the same nature, nor of
Several risk measures have been proposed in the literature, among them the marginal mean excess, defined as MME_p = \mathbb E[(Y^{(1)}-Q_1(1-p))_+|Y^{(2)}> Q_{2}(1-p)], provided \mathbb E|Y^{(1)}|< \infty, where (Y^{(1)}, Y^{(2)}) denotes a pair of r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::43379e6713678e960fe23d1ce9170dee
https://hal.archives-ouvertes.fr/hal-03271590
https://hal.archives-ouvertes.fr/hal-03271590
Publikováno v:
Dierckx, G, Goegebeur, Y & Guillou, A 2021, ' Local Robust Estimation of Pareto-Type Tails with Random Right Censoring ', Sankhya A, vol. 83, no. 1, pp. 70-108 . https://doi.org/10.1007/s13171-019-00169-0
Sankhya A
Sankhya A, Springer Verlag, 2021, 83, pp.70-108. ⟨10.1007/s13171-019-00169-0⟩
Sankhya A
Sankhya A, Springer Verlag, 2021, 83, pp.70-108. ⟨10.1007/s13171-019-00169-0⟩
We propose a nonparametric robust estimator for the tail index of a conditional Pareto-type distribution in the presence of censoring and random covariates. The censored distribution is also of Pareto-type and the index is estimated locally within a
Publikováno v:
Insurance: Mathematics and Economics
Insurance: Mathematics and Economics, Elsevier, 2018, 83, pp.59-74. ⟨10.1016/j.insmatheco.2018.09.004⟩
Insurance: Mathematics and Economics, Elsevier, 2018, 83, pp.59-74. ⟨10.1016/j.insmatheco.2018.09.004⟩
International audience; In this paper, we discuss the application of extreme value theory in the context of stationary β-mixing sequences that belong to the Fréchet domain of attraction. In particular, we propose a methodology to construct bias-cor
Publikováno v:
Econometrics and Statistics
Econometrics and Statistics, Elsevier, In press, ⟨10.1016/j.ecosta.2021.09.006⟩
Econometrics and Statistics, Elsevier, In press, ⟨10.1016/j.ecosta.2021.09.006⟩
The marginal expected shortfall is an important risk measure in finance, which has been extended recently to the case where the random variables of main interest (Y^{(1)}, Y^{(2)}) are observed together with a covariate X\in \mathbb R^d. This leads t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2f49c75fefbb4974f5d3cc634b54fcef
https://hal.archives-ouvertes.fr/hal-02613135v3/document
https://hal.archives-ouvertes.fr/hal-02613135v3/document