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Page 2370 of Mathematical Reviews Vol. , Issue 2004c [page]

2004 Mathematical Reviews  
Necessary and sufficient conditions are given for subsets of dependence measures to be self-consistent, that is, to guarantee the existence of a distribution with such a subset of values for the dependence  ...  The methods are illustrated through an analysis of simu- 62 STATISTICS 2370 lated multivariate data, which shows that a lack of self-consistency is frequently a problem with the existing estimators, and  ... 

A conditional approach for multivariate extreme values (with discussion)

Janet E. Heffernan, Jonathan A. Tawn
2004 Journal of The Royal Statistical Society Series B-statistical Methodology  
Multivariate extreme value theory and methods concern the characterization, estimation and extrapolation of the joint tail of the distribution of a d-dimensional random variable.  ...  Under an assumption about the asymptotic form of the joint distribution of a d-dimensional random variable conditional on its having an extreme component, we develop an entirely new semiparametric approach  ...  This and the measurement programmes are funded by the Department for the Environment, Food and Rural Affairs, the Scottish Executive, the Welsh Assembly Government and the Department of the Environment  ... 
doi:10.1111/j.1467-9868.2004.02050.x fatcat:j2j72t2rbvgd5c4fa7reb6deam

Dependence Properties of Multivariate Max-Stable Distributions [article]

Ioannis Papastathopoulos, Jonathan A. Tawn
2012 arXiv   pre-print
For an m-dimensional multivariate extreme value distribution there exist 2^m-1 exponent measures which are linked and completely characterise the dependence of the distribution and all of its lower dimensional  ...  In this paper we generalise the inequalities of Schlather and Tawn (2002) for the sets of extremal coefficients and construct bounds that higher order exponent measures need to satisfy to be consistent  ...  The dependence properties of max-stable distributions have received attention in the multivariate extreme value literature.  ... 
arXiv:1210.8268v1 fatcat:e5ajt6yugfaczhiacz6xhit67e

Page 5723 of Mathematical Reviews Vol. , Issue 2001H [page]

2001 Mathematical Reviews  
VC classes and classes of functions satisfying bracketing conditions are considered. The consistency and the rate of convergence of many nonparametric M-estimators are also considered.  ...  distributions; Bivariate and multivariate extreme value dis- tributions; Natural exponential families; Author index; Subject index. 2001h:62002 62-01 62G05 62G20 van de Geer, Sara A. * Applications of  ... 

On Asymptotic Properties of the Separating Hill Estimator [article]

Matias Heikkilä, Yves Dominicy, Pauliina Ilmonen
2016 arXiv   pre-print
The separating Hill estimator can be used in estimating the extreme value index of a heavy tailed multivariate elliptical distribution.  ...  We show, analytically, that the separating Hill estimator is consistent and asymptotically normal under estimated location and scatter, when certain mild conditions are met.  ...  Estimation of a positive extreme value index The extreme value index yields the limiting distribution of the extreme order statistics subject to a sequence of appropriately chosen affine normalizations  ... 
arXiv:1511.08627v2 fatcat:te3n3uj53jh55njheaq3vf4wqu

Statistical modelling of extreme ocean environments for marine design: A review

Philip Jonathan, Kevin Ewans
2013 Ocean Engineering  
Extreme value analysis is inherently different to other empirical modelling, in that estimating the tail (rather than the body) of a distribution from a sample of data, and extrapolation beyond the sample  ...  Effective modelling of multivariate extremes will improve the specification of design conditions for systems whose response cannot be easily characterised in terms of one variable.  ...  The conditional approach consists of (1) transforming each variable so that marginally its values are consistent with a sample from the standard Gumbel distribution, (2) estimating the parameters of the  ... 
doi:10.1016/j.oceaneng.2013.01.004 fatcat:lyfqsgea2vc23osjsfojcjlvry

Model-based inference of conditional extreme value distributions with hydrological applications [article]

Ross Towe, Jonathan Tawn, Rob Lamb, Chris Sherlock
2019 arXiv   pre-print
The semi-parametric conditional extreme value model of Heffernan and Tawn (2004) involving a multivariate regression provides the most suitable of current statistical models in terms of its flexibility  ...  Multivariate extreme value models are used to estimate joint risk in a number of applications, with a particular focus on environmental fields ranging from climatology and hydrology to oceanography and  ...  Acknowledgements Towe's research was supported by Jeremy Benn Associates Ltd and Innovate UK KTP009454 and EP/P002285/1 (The Role of Digital Technology in Understanding, Mitigating and Adapting to Environmental  ... 
arXiv:1805.09579v2 fatcat:bqgecxyh5rgf5bqi22wfl7isee

Study on the Market Risk Measurement of the Style Portfolios in Stock Markets Based on EVT-t-Copula Model

Yuhong Zhou, Wenwei Guo
2013 International Journal of Online Engineering (iJOE)  
Index Terms-Style assets in stock markets, Market risk, Extreme Value Theory, Multivariate Coupla Model I.  ...  And the joint return distribution of the style portfolios is simulated, combined with extreme value theory and Monte Carlo simulation method.  ...  We could see that the graph of the cumulative distribution based on the multivariate t-Copula model is less affected by extreme values.  ... 
doi:10.3991/ijoe.v9is2.2595 fatcat:nfbpn7na6rdp5jtivzwcvl72bq

Page 5630 of Mathematical Reviews Vol. , Issue 89J [page]

1989 Mathematical Reviews  
Resnick, Multivariate records and shape (pp. 222-233); J. Hiisler, Limit distributions of multivariate extreme values in nonstationary sequences of random vectors (pp. 234-245); J.  ...  Grusho, Conditions for the consistent detection of em- beddings in a sample from a uniform distribution (pp. 65-72); E. M.  ... 

Estimating Latent Variable Interactions With Nonnormal Observed Data: A Comparison of Four Approaches

Heining Cham, Stephen G. West, Yue Ma, Leona S. Aiken
2012 Multivariate Behavioral Research  
In highly non-normal conditions, the GAPI and UPI approaches with ML estimation yielded unbiased latent interaction effect estimates, with acceptable actual Type-I error rates for both the Wald and likelihood  ...  An empirical example illustrated the use of the four approaches in testing a latent variable interaction between academic self-efficacy and positive family role models in the prediction of academic performance  ...  ML estimation provides high efficiency and consistency in parameter estimation under conditions of multivariate normality of the observed variables (Bollen, 1989, p. 108) .  ... 
doi:10.1080/00273171.2012.732901 pmid:23457417 pmcid:PMC3583564 fatcat:riyvevwrw5fzngntg4zjy45gjm

Estimation of extreme quantiles conditioning on multivariate critical layers

E. Di Bernardino, F. Palacios-Rodríguez
2016 Environmetrics  
We finally illustrate how the proposed estimation procedure can help in the evaluation of extreme multivariate hydrological risks.  ...  The aim of this work is to propose a non-parametric extreme estimation procedure for the (1 − p n )-quantile of T i for a fixed α and when p n → 0, as the sample size n → +∞.  ...  the University of Seville.  ... 
doi:10.1002/env.2385 fatcat:gq3jek3jubbsdbbc42njhzwkci

Multivariate Hawkes processes: an application to financial data

Paul Embrechts, Thomas Liniger, Lu Lin
2011 Journal of Applied Probability  
We derive the statistical estimation (maximum likelihood estimation) and goodness-of-fit (mainly graphical) for multivariate Hawkes processes with possibly dependent marks.  ...  A Hawkes process is also known under the name of a self-exciting point process and has numerous applications throughout science and engineering.  ...  Acknowledgements The authors would like to thank the anonymous referee for careful reading of an earlier version of the paper.  ... 
doi:10.1017/s0021900200099344 fatcat:ez3jctke3ngqpfpbi4qtocn4zi

Distribution of Illness and Medical Expenditure: A Survey in Two Villages in Rural Beijing

Jie Song, Hong Ji, Benchang Shia, Shuangge Ma, Harry Zhang
2013 PLoS ONE  
The main goal of this study is to examine the distributions of illness conditions and resulting medical expenditures and their associated factors.  ...  The presence of a high level of self-treatment was significantly associated with household size.  ...  We also thank the associate editor and two reviewers for careful review and insightful comments, which have led to a significant improvement of the manuscript.  ... 
doi:10.1371/journal.pone.0061068 pmid:23565297 pmcid:PMC3615015 fatcat:r2ryqhm3urbabjhovl7nu2qo3u

A comparison of dependence function estimators in multivariate extremes

Sabrina Vettori, Raphaël Huser, Marc G. Genton
2017 Statistics and computing  
Various non-parametric and parametric estimators of extremal dependence have been proposed in the literature.  ...  Non-parametric methods commonly suffer from the curse of dimensionality and have been mostly implemented in extreme-value studies up to three dimensions, whereas parametric models can tackle higher-dimensional  ...  Therefore, in this simulation experiment we complement previous comparison studies by simulating the data from distributions in the MDA of the multivariate extreme-value distribution G characterized by  ... 
doi:10.1007/s11222-017-9745-7 fatcat:pgmk5al4nvb2ndasygxmkwhhfa

Are crude oil and natural gas extreme prices interdependent?

Fernanda Fuentes, Rodrigo Herrera
2018 Journal of Physics, Conference Series  
and magnitude of extreme events in the natural gas market.  ...  We investigated the relationship between extreme prices of crude oil and natural gas.  ...  This conditional methodology based on self-excited point processes uses the history of past events to capture the dynamic behavior of extreme events in the tail distribution.  ... 
doi:10.1088/1742-6596/1053/1/012112 fatcat:ry44sht4rnegzexhupe7vhkmh4
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