ExtremesPub Date : 2020-06-03DOI: 10.1007/s10687-020-00379-y
Axel Bücher, J. Lilienthal, Paul Kinsvater, R. Fried
{"title":"Penalized quasi-maximum likelihood estimation for extreme value models with application to flood frequency analysis","authors":"Axel Bücher, J. Lilienthal, Paul Kinsvater, R. Fried","doi":"10.1007/s10687-020-00379-y","DOIUrl":"https://doi.org/10.1007/s10687-020-00379-y","url":null,"abstract":"","PeriodicalId":49274,"journal":{"name":"Extremes","volume":"24 1","pages":"325 - 348"},"PeriodicalIF":1.3,"publicationDate":"2020-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10687-020-00379-y","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52394223","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
ExtremesPub Date : 2020-04-27DOI: 10.1007/s10687-020-00375-2
M. Stehlík, J. Kiselák, M. Vaiciulis, P. Jordanova, L. N. Soza, Z. Fabián, P. Hermann, L. Střelec, Andrés Rivera, S. Girard, Sebastián Torres
{"title":"Priority statement and some properties of t-lgHill estimator","authors":"M. Stehlík, J. Kiselák, M. Vaiciulis, P. Jordanova, L. N. Soza, Z. Fabián, P. Hermann, L. Střelec, Andrés Rivera, S. Girard, Sebastián Torres","doi":"10.1007/s10687-020-00375-2","DOIUrl":"https://doi.org/10.1007/s10687-020-00375-2","url":null,"abstract":"","PeriodicalId":49274,"journal":{"name":"Extremes","volume":"23 1","pages":"493 - 499"},"PeriodicalIF":1.3,"publicationDate":"2020-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10687-020-00375-2","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46766405","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
ExtremesPub Date : 2020-03-05DOI: 10.1007/s10687-020-00387-y
K. Dȩbicki, L. Ji, T. Rolski
{"title":"Exact asymptotics of component-wise extrema of two-dimensional Brownian motion","authors":"K. Dȩbicki, L. Ji, T. Rolski","doi":"10.1007/s10687-020-00387-y","DOIUrl":"https://doi.org/10.1007/s10687-020-00387-y","url":null,"abstract":"","PeriodicalId":49274,"journal":{"name":"Extremes","volume":"23 1","pages":"569 - 602"},"PeriodicalIF":1.3,"publicationDate":"2020-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10687-020-00387-y","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47507195","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
ExtremesPub Date : 2020-02-03DOI: 10.1007/s10687-022-00443-9
Bojan Basrak, P. Kevei
{"title":"Limit theorems for branching processes with immigration in a random environment","authors":"Bojan Basrak, P. Kevei","doi":"10.1007/s10687-022-00443-9","DOIUrl":"https://doi.org/10.1007/s10687-022-00443-9","url":null,"abstract":"","PeriodicalId":49274,"journal":{"name":"Extremes","volume":"25 1","pages":"623 - 654"},"PeriodicalIF":1.3,"publicationDate":"2020-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44947503","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
ExtremesPub Date : 2020-01-01Epub Date: 2020-07-14DOI: 10.1007/s10687-020-00385-0
Martin Bladt, Hansjörg Albrecher, Jan Beirlant
{"title":"Threshold selection and trimming in extremes.","authors":"Martin Bladt, Hansjörg Albrecher, Jan Beirlant","doi":"10.1007/s10687-020-00385-0","DOIUrl":"https://doi.org/10.1007/s10687-020-00385-0","url":null,"abstract":"<p><p>We consider removing lower order statistics from the classical Hill estimator in extreme value statistics, and compensating for it by rescaling the remaining terms. Trajectories of these trimmed statistics as a function of the extent of trimming turn out to be quite flat near the optimal threshold value. For the regularly varying case, the classical threshold selection problem in tail estimation is then revisited, both visually via trimmed Hill plots and, for the Hall class, also mathematically via minimizing the expected empirical variance. This leads to a simple threshold selection procedure for the classical Hill estimator which circumvents the estimation of some of the tail characteristics, a problem which is usually the bottleneck in threshold selection. As a by-product, we derive an alternative estimator of the tail index, which assigns more weight to large observations, and works particularly well for relatively lighter tails. A simple ratio statistic routine is suggested to evaluate the goodness of the implied selection of the threshold. We illustrate the favourable performance and the potential of the proposed method with simulation studies and real insurance data.</p>","PeriodicalId":49274,"journal":{"name":"Extremes","volume":"23 4","pages":"629-665"},"PeriodicalIF":1.3,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10687-020-00385-0","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"38656970","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
ExtremesPub Date : 2019-12-16DOI: 10.1007/s10687-019-00364-0
B. Beranger, S. Padoan, S. Sisson
{"title":"Estimation and uncertainty quantification for extreme quantile regions","authors":"B. Beranger, S. Padoan, S. Sisson","doi":"10.1007/s10687-019-00364-0","DOIUrl":"https://doi.org/10.1007/s10687-019-00364-0","url":null,"abstract":"","PeriodicalId":49274,"journal":{"name":"Extremes","volume":"24 1","pages":"349 - 375"},"PeriodicalIF":1.3,"publicationDate":"2019-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10687-019-00364-0","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52394023","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
ExtremesPub Date : 2019-12-02DOI: 10.1007/s10687-019-00369-9
Raphael Huser
{"title":"Editorial: EVA 2019 data competition on spatio-temporal prediction of Red Sea surface temperature extremes","authors":"Raphael Huser","doi":"10.1007/s10687-019-00369-9","DOIUrl":"https://doi.org/10.1007/s10687-019-00369-9","url":null,"abstract":"","PeriodicalId":49274,"journal":{"name":"Extremes","volume":"24 1","pages":"91-104"},"PeriodicalIF":1.3,"publicationDate":"2019-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10687-019-00369-9","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42816811","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
ExtremesPub Date : 2019-11-01DOI: 10.1007/s10687-021-00413-7
C. Smadi, V. Vatutin
{"title":"Critical branching processes in random environment with immigration: survival of a single family","authors":"C. Smadi, V. Vatutin","doi":"10.1007/s10687-021-00413-7","DOIUrl":"https://doi.org/10.1007/s10687-021-00413-7","url":null,"abstract":"","PeriodicalId":49274,"journal":{"name":"Extremes","volume":"24 1","pages":"433 - 460"},"PeriodicalIF":1.3,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10687-021-00413-7","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47065453","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}