User menu

Multivariate peaks over thresholds models

Bibliographic reference Rootzén, Holger ; Segers, Johan ; Wadsworth, Jennifer. Multivariate peaks over thresholds models. In: Extremes : statistical theory and applications in science, engineering and economics, Vol. Firs online 23 June 2017 (2017)
Permanent URL http://hdl.handle.net/2078.1/187125
  1. Andersen, C.F., et al.: The New Orleans Hurricane Protection System: What Went Wrong and Why. A Report by the ASCE Hurricane Katrina External Review Panel. American Society of Civil Engineers (2007)
  2. Aulbach Stefan, Bayer Verena, Falk Michael, A multivariate piecing-together approach with an application to operational loss data, 10.3150/10-bej343
  3. Balkema, A.A., de Haan, L.: Residual life time at great age. Ann. Probab. 2(5), 792–804 (1974)
  4. Beirlant, J., Goegebeur, Y., Segers, J., Teugels, J.: Statistics of Extremes: Theory and Applications. John Wiley & Sons (2004)
  5. Brodin, E., Rootzén, H.: Univariate and bivariate GPD methods for predicting extreme wind storm losses. Insurance: Math. Econ. 44(3), 345–356 (2009)
  6. Chib, S., Greenberg, E.: Understanding the Metropolis-Hastings algorithm. Am. Stat. 49(4), 327–335 (1995)
  7. Coles Stuart, An Introduction to Statistical Modeling of Extreme Values, ISBN:9781849968744, 10.1007/978-1-4471-3675-0
  8. Coles, S.G., Tawn, J.A.: Modelling extreme multivariate events. J. R. Stat. Soc. Ser. B (Stat Methodol.) 53(2), 377–392 (1991)
  9. Davison A. C., Padoan S. A., Ribatet M., Statistical Modeling of Spatial Extremes, 10.1214/11-sts376
  10. Davison, A.C., Smith, R.L.: Models for exceedances over high thresholds. J. R. Stat. Soc. Ser. B (Stat Methodol.) 52(3), 393–442 (1990)
  11. de Fondeville, R., Davison, A.C.: High-dimensional peaks-over-threshold inference for the Brown–Resnick process. arXiv: 1605.08558 (2016)
  12. de Haan Laurens, Ferreira Ana, Extreme Value Theory, ISBN:9780387239460, 10.1007/0-387-34471-3
  13. de Haan, L., Neves, C., Peng, L.: Parametric tail copula estimation and model testing. J. Multivar. Anal. 99(6), 1260–1275 (2008)
  14. Dey, D.K., Yan, J., Extreme Value Modeling and Risk Analysis: Methods and Applications. Chapman and Hall/CRC (2015)
  15. Einmahl John H. J., Kiriliouk Anna, Krajina Andrea, Segers Johan, AnM-estimator of spatial tail dependence, 10.1111/rssb.12114
  16. Einmahl John H. J., Krajina Andrea, Segers Johan, An M-estimator for tail dependence in arbitrary dimensions, 10.1214/12-aos1023
  17. Falk, M., Hüsler, J., Reiss, R.-D.: Laws of Small Numbers: Extremes and Rare Events. Springer Science & Business Media (2010)
  18. Ferreira, A., de Haan, L.: The generalized Pareto process; with a view towards application and simulation. Bernoulli 20(4), 1717–1737 (2014)
  19. Grynszpan, D.: Lessons from the french heatwave. Lancet 362, 1169–1170 (2003)
  20. Guzzetti F., Peruccacci S., Rossi M., Stark C. P., Rainfall thresholds for the initiation of landslides in central and southern Europe, 10.1007/s00703-007-0262-7
  21. Huser R., Davison A. C., Composite likelihood estimation for the Brown-Resnick process, 10.1093/biomet/ass089
  22. Huser, R., Davison, A.C., Genton, M.G.: Likelihood estimators for multivariate extremes. Extremes 19(1), 79–103 (2015)
  23. Joe, H., Smith, R.L., Weissman, I.: Bivariate threshold methods for extremes. J. R. Stat. Soc. Ser. B Methodol. 54(1), 171–183 (1992)
  24. Katz, R.W., Parlange, M.B., Naveau, P.: Statistics of extremes in hydrology. Adv. Water Resour. 25(1), 1287–1304 (2002)
  25. Kiriliouk, A., Rootzén, H., Segers, J., Wadsworth, J.: Peaks over thresholds modelling with multivariate generalized Pareto distributions. arXiv: 1612.01773 (2016)
  26. Kyselý, J., Picek, J., Beranová, R.: Estimating extremes in climate change simulations using the peaks-over-threshold method with a non-stationary threshold. Global Planet. Change 72(1–2), 55–68 (2010)
  27. Marshall, A.W., Olkin, I.: Domains of attraction of multivariate extreme value distributions. Ann. Probab. 11(1), 168–177 (1983)
  28. McNeil, A.J., Frey, R., Embrechts, P.: Quantitative Risk Management: Concepts Techniques and Tools. Princeton University Press, Princeton (2015)
  29. Michel, R.: Parametric estimation procedures in multivariate generalized Pareto models. Scand. J. Stat. 36(1), 60–75 (2009)
  30. NERC: Flood Studies Report. Natural Environment Research Council, London (1975)
  31. Penrose, M.D.: Semi-minstable processes. Ann. Probab. 20(3), 1450–1463 (1992)
  32. III James Pickands, Statistical Inference Using Extreme Order Statistics, 10.1214/aos/1176343003
  33. Resnick Sidney I., Extreme Values, Regular Variation and Point Processes, ISBN:9780387759524, 10.1007/978-0-387-75953-1
  34. Resnick, S.I.: Heavy-Tail Phenomena, Probabilistic and Statistical Modelling. Springer (2007)
  35. Rootzén Holger, Tajvidi Nader, Multivariate generalized Pareto distributions, 10.3150/bj/1161614952
  36. Schlather, M.: Models for stationary max-stable fields. Extremes 5(1), 61–82 (2002)
  37. Smith Richard L., Threshold Methods for Sample Extremes, Statistical Extremes and Applications (1984) ISBN:9789048184019 p.621-638, 10.1007/978-94-017-3069-3_48
  38. Smith R., Markov chain models for threshold exceedances, 10.1093/biomet/84.2.249
  39. Tajvidi, N.: Characterisation and Some Statistical Aspects of Univariate and Multivariate Generalized Pareto Distributions. Ph. D. thesis Department of Mathematics. Chalmers University of Technology, Göteborg (1996)
  40. Wadsworth, J., Tawn, J.: Efficient inference for spatial extreme value processes associated to log-Gaussian random functions. Biometrika 101(1), 1–15 (2014)