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Title: Improving extreme value statistics

Journal Article · · Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics

Sponsoring Organization:
USDOE Office of Science (SC), Basic Energy Sciences (BES)
Grant/Contract Number:
FG02-07ER46393
OSTI ID:
1180305
Journal Information:
Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics, Journal Name: Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics Vol. 90 Journal Issue: 5; ISSN 1539-3755
Publisher:
American Physical SocietyCopyright Statement
Country of Publication:
United States
Language:
English

References (31)

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An extreme-value theory model for dependent observations journal June 1988
Comparison between the rates of convergence of extremes under linear and under power normalization journal April 2008
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Modeling large claims in non-life insurance journal April 1992
Extreme-value statistics of hierarchically correlated variables deviation from Gumbel statistics and anomalous persistence journal September 2001
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Statistics of extremes in hydrology journal August 2002
Extreme value statistics and wind storm losses: A case study journal January 1997
The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting journal February 1998
Universality classes for extreme-value statistics journal December 1997
Fracture Strength of Disordered Media: Universality, Interactions, and Tail Asymptotics journal February 2012
Extreme value theory based on the r largest annual events journal September 1986
Convergence rates for the ultimate and pentultimate approximations in extreme-value theory journal December 1982
Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach journal November 2000
The Chain-of-Bundles Probability Model For the Strength of Fibrous Materials I: Analysis and Conjectures journal July 1978
Penultimate limiting forms in extreme value theory journal December 1984
Frequency analysis of a sequence of dependent and/or non-stationary hydro-meteorological observations: A review journal October 2006
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On extreme values in stationary sequences journal January 1974

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