Zobrazeno 1 - 10
of 44
pro vyhledávání: '"Lígia Henriques-Rodrigues"'
Publikováno v:
Applied Sciences, Vol 14, Iss 19, p 8671 (2024)
The field of statistical extreme value theory (EVT) focuses on estimating parameters associated with extreme events, such as the probability of exceeding a high threshold or determining a high quantile that lies at or beyond the observed data range.
Externí odkaz:
https://doaj.org/article/232b72af7d224f63ab8cc87f3ec31e02
Publikováno v:
Mathematics, Vol 12, Iss 18, p 2866 (2024)
The estimation of the extreme value index (EVI) is a crucial task in the field of statistics of extremes, as it provides valuable insights into the tail behavior of a distribution. For models with a Pareto-type tail, the Hill estimator is a popular c
Externí odkaz:
https://doaj.org/article/4be1acb7fbe34093a1fe6f12a4a862eb
Publikováno v:
Revstat Statistical Journal, Vol 15, Iss 2 (2017)
In finance, insurance and statistical quality control, among many other areas of appli[1]cation, a typical requirement is to estimate the value-at-risk (VaR) at a small level q, i.e. a high quantile of probability 1 −q, a value, high enough, so tha
Externí odkaz:
https://doaj.org/article/01d4b31ddaac46c6bca8c9ef35cbc5c4
Publikováno v:
Revstat Statistical Journal, Vol 14, Iss 3 (2016)
A simple generalisation of the classical Hill estimator of a positive extreme value index (EVI) has been recently introduced in the literature. Indeed, the Hill estimator can be regarded as the logarithm of the mean of order p = 0 of a certain set of
Externí odkaz:
https://doaj.org/article/279172750c3f4574ae9b45d5ad6ed04d
Publikováno v:
Revstat Statistical Journal, Vol 12, Iss 3 (2014)
In this paper we study, under a semi-parametric framework and for heavy right tails, a class of location invariant estimators of a shape second-order parameter, ruling the rate of convergence of the normalised sequence of maximum values to a non-dege
Externí odkaz:
https://doaj.org/article/011853796d614409832aecdb22385ee8
Publikováno v:
Revstat Statistical Journal, Vol 9, Iss 2 (2011)
TV shows on any athletic event make clear that those who want gold medals cannot dispense statistics. And the statistics more appealing to champions and coachers are the extreme order statistics, and in particular maximum (or minimum) values and reco
Externí odkaz:
https://doaj.org/article/6ab3a3f80445418da02999bb913312a8
Publikováno v:
Revstat Statistical Journal, Vol 7, Iss 3 (2009)
In many areas of application, a typical requirement is to estimate a high quantile χ1−p of probability 1−p, a value, high enough, so that the chance of an exceedance of that value is equal to p, small. The semi-parametric estimation of high quan
Externí odkaz:
https://doaj.org/article/ebbb20410066452fab6381c91cc887c6
Due to the specificity of the Weibull tail coefficient, most of the estimators available in the literature are based on the log excesses and are consequently quite similar to the estimators used for the estimation of a positive extreme value index. T
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::33579e6d3bc052f647b63fea96be0c89
https://hdl.handle.net/10362/151474
https://hdl.handle.net/10362/151474
Publikováno v:
Journal of Statistical Theory and Practice. 16
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::01bee0ac13493a20a7dccc584eb58c09
https://doi.org/10.1007/s42519-022-00264-w
https://doi.org/10.1007/s42519-022-00264-w
Autor:
Dinis Pestana, Lígia Henriques-Rodrigues, M. Ivette Gomes, Fernanda Figueiredo, Frederico Caeiro
Publikováno v:
Journal of Statistical Computation and Simulation. 90:1735-1752
On the basis of a sample of either independent, identically distributed or possibly weakly dependent and stationary random variables from an unknown model F with a heavy right-tail function, and fo...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ee18527c80b3f96cadfec13bfc7ab2c9
https://doi.org/10.1080/00949655.2020.1746787
https://doi.org/10.1080/00949655.2020.1746787