Zobrazeno 1 - 10
of 26
pro vyhledávání: '"Isabel Fraga Alves"'
Autor:
Isabel Fraga Alves, Giovani L. Silva
Publikováno v:
Revstat Statistical Journal, Vol 20, Iss 3 (2022)
Externí odkaz:
https://doaj.org/article/c71a9c6d32564765be85d1559c03d060
Publikováno v:
Encyclopedia of Mathematical Geosciences ISBN: 9783030260507
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::25cd93f698fcb7719d9ece608f601935
https://doi.org/10.1007/978-3-030-26050-7_454-1
https://doi.org/10.1007/978-3-030-26050-7_454-1
In extreme value analysis, sensitivity of inference to the definition of extreme event is a paramount issue. Under the peaks-over-threshold (POT) approach, this translates directly into the need of fitting a Generalized Pareto distribution to observa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d7ac48b49503957f41ddc2a6cd3c13df
http://arxiv.org/abs/1905.08726
http://arxiv.org/abs/1905.08726
Publikováno v:
Extremes. 19:429-462
In extreme value analysis, natural upper bounds can appear that truncate the probability tail. At other instances ultimately at the largest data, deviations from a Pareto tail behaviour become apparent. This matter is especially important when extrap
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d53f9bb03a872e961e7597a9047f836f
https://doi.org/10.1007/s10687-016-0247-3
https://doi.org/10.1007/s10687-016-0247-3
Publikováno v:
Electron. J. Statist. 11, no. 1 (2017), 2026-2065
© 2017, Institute of Mathematical Statistics. All rights reserved. In several applications, ultimately at the largest data, truncation effects can be observed when analysing tail characteristics of statistical distributions. In some cases truncation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b95073b96effd7d8047e01dfda46ef4d
https://lirias.kuleuven.be/handle/123456789/583100
https://lirias.kuleuven.be/handle/123456789/583100
Publikováno v:
Repositório Científico de Acesso Aberto de Portugal
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
Recurrent ⿿black swans⿿ financial events are a major concern for both investors and regulators because of the extreme price changes they cause, despite their very low probability of occurrence. In this paper, we use unconditional and conditional
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bdac3cb14777bf0a05755f0fb28dddaf
https://doi.org/10.1016/j.najef.2013.02.017
https://doi.org/10.1016/j.najef.2013.02.017
Publikováno v:
Journal of Statistical Computation and Simulation. 83:1129-1144
In this article, we deal with an empirical comparison of two data-driven heuristic procedures of estimation of a positive extreme value index (EVI), working thus with heavy right tails. The semi-parametric EVI-estimators under consideration, the so-c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::becf55d1739fa592b8065dcf7ae9cab4
https://doi.org/10.1080/00949655.2011.652113
https://doi.org/10.1080/00949655.2011.652113
Autor:
Isabel Fraga Alves, Cláudia Neves
Publikováno v:
Extreme Events in Finance
In this introduction to extreme value analysis, we review the fundamental results of the Extreme Value Theory, both in the univariate and the multivariate cases. Illustrations are provided for the former, with practical application to the modeling of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b68a856cfb3a1acb3dd57a159f8f672b
https://doi.org/10.1002/9781118650318.ch4
https://doi.org/10.1002/9781118650318.ch4
Publikováno v:
Extremes. 12:149-185
A new class of estimators of the extreme value index is developed. It has a simple form and is asymptotically very close to the maximum likelihood estimator for a wide class of heavy-tailed models. We also propose an alternative class of estimators,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cf4105874e0ec3c9c1c7bc33d04dbf5f
https://doi.org/10.1007/s10687-008-0073-3
https://doi.org/10.1007/s10687-008-0073-3
Publikováno v:
Extremes. 11:3-34
In the last decades there has been a shift from the parametric statistics of extremes for IID random variables, based on the probabilistic asymptotic results in extreme value theory, towards a semi-parametric approach, where the estimation of the rig
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3e472c288afc870238221256e4cc5263
https://doi.org/10.1007/s10687-007-0048-9
https://doi.org/10.1007/s10687-007-0048-9