Németh, László; Hübnerová, Zuzana; Zempléni, András Comparison of trend detection methods in GEV models. (English) Zbl 07632212 Commun. Stat., Simulation Comput. 51, No. 11, 6398-6413 (2022). MSC: 62G32 62F40 60G70 62M10 PDFBibTeX XMLCite \textit{L. Németh} et al., Commun. Stat., Simulation Comput. 51, No. 11, 6398--6413 (2022; Zbl 07632212) Full Text: DOI
Calmon, Wilson; Ferioli, Eduardo; Lettieri, Davi; Soares, Johann; Pizzinga, Adrian An extensive comparison of some well-established value at risk methods. (English) Zbl 07777530 Int. Stat. Rev. 89, No. 1, 148-166 (2021). MSC: 62P05 62M10 91G70 PDFBibTeX XMLCite \textit{W. Calmon} et al., Int. Stat. Rev. 89, No. 1, 148--166 (2021; Zbl 07777530) Full Text: DOI
Zhang, Zhengjun On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures. (English) Zbl 1527.62068 Stat. Theory Relat. Fields 5, No. 1, 1-25 (2021). MSC: 62M10 60G70 PDFBibTeX XMLCite \textit{Z. Zhang}, Stat. Theory Relat. Fields 5, No. 1, 1--25 (2021; Zbl 1527.62068) Full Text: DOI
Drees, Holger; Janßen, Anja; Neblung, Sebastian Cluster based inference for extremes of time series. (English) Zbl 1476.62135 Stochastic Processes Appl. 142, 1-33 (2021). MSC: 62H30 62G05 62G32 62M10 62M15 62R10 60F10 60F17 PDFBibTeX XMLCite \textit{H. Drees} et al., Stochastic Processes Appl. 142, 1--33 (2021; Zbl 1476.62135) Full Text: DOI arXiv
Hees, Katharina; Nayak, Smarak; Straka, Peter Statistical inference for inter-arrival times of extreme events in bursty time series. (English) Zbl 1510.62358 Comput. Stat. Data Anal. 155, Article ID 107096, 14 p. (2021). MSC: 62M10 60F05 60G55 60G70 60K10 62G32 PDFBibTeX XMLCite \textit{K. Hees} et al., Comput. Stat. Data Anal. 155, Article ID 107096, 14 p. (2021; Zbl 1510.62358) Full Text: DOI arXiv
Scharwächter, Erik; Müller, Emmanuel Does terrorism trigger online hate speech? On the association of events and time series. (English) Zbl 1470.62180 Ann. Appl. Stat. 14, No. 3, 1285-1303 (2020). MSC: 62P25 62M10 PDFBibTeX XMLCite \textit{E. Scharwächter} and \textit{E. Müller}, Ann. Appl. Stat. 14, No. 3, 1285--1303 (2020; Zbl 1470.62180) Full Text: DOI arXiv Euclid
Smirnov, Veniamin; Ma, Zhuanzhuan; Volchenkov, Dimitri Invited article by M. Gidea: Extreme events and emergency scales. (English) Zbl 1451.62048 Commun. Nonlinear Sci. Numer. Simul. 90, Article ID 105350, 19 p. (2020). MSC: 62G32 62M10 62P20 91B84 PDFBibTeX XMLCite \textit{V. Smirnov} et al., Commun. Nonlinear Sci. Numer. Simul. 90, Article ID 105350, 19 p. (2020; Zbl 1451.62048) Full Text: DOI
Caby, Theophile; Mantica, Giorgio Extreme value theory of evolving phenomena in complex dynamical systems: firing cascades in a model of a neural network. (English) Zbl 1448.37116 Chaos 30, No. 4, 043118, 14 p. (2020). Reviewer: Andreas Wichert (Lisboa) MSC: 37N25 37M10 60G70 92B20 PDFBibTeX XMLCite \textit{T. Caby} and \textit{G. Mantica}, Chaos 30, No. 4, 043118, 14 p. (2020; Zbl 1448.37116) Full Text: DOI arXiv
Moura e Silva, Wyara Vanesa; Ferraz do Nascimento, Fernando; Bourguignon, Marcelo A change-point model for the \(r\)-largest order statistics with applications to environmental and financial data. (English) Zbl 1440.62171 Appl. Math. Modelling 82, 666-679 (2020). MSC: 62G32 62G10 62G30 62P05 62P12 PDFBibTeX XMLCite \textit{W. V. Moura e Silva} et al., Appl. Math. Modelling 82, 666--679 (2020; Zbl 1440.62171) Full Text: DOI
Dey, Asim Kumer; Edwards, Audrene; Das, Kumer Pial Determinants of high crude oil price: a nonstationary extreme value approach. (English) Zbl 1437.62685 J. Stat. Theory Pract. 14, No. 1, Paper No. 4, 14 p. (2020). MSC: 62P20 62G32 62M10 PDFBibTeX XMLCite \textit{A. K. Dey} et al., J. Stat. Theory Pract. 14, No. 1, Paper No. 4, 14 p. (2020; Zbl 1437.62685) Full Text: DOI
Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong Modeling maxima with autoregressive conditional Fréchet model. (English) Zbl 1452.62339 J. Econom. 207, No. 2, 325-351 (2018). MSC: 62G32 62M10 62P05 62P20 PDFBibTeX XMLCite \textit{Z. Zhao} et al., J. Econom. 207, No. 2, 325--351 (2018; Zbl 1452.62339) Full Text: DOI
D’Urso, Pierpaolo; Maharaj, Elizabeth A.; Alonso, Andrés M. Fuzzy clustering of time series using extremes. (English) Zbl 1381.62162 Fuzzy Sets Syst. 318, 56-79 (2017). MSC: 62H30 62M10 62H86 62M86 PDFBibTeX XMLCite \textit{P. D'Urso} et al., Fuzzy Sets Syst. 318, 56--79 (2017; Zbl 1381.62162) Full Text: DOI
Winter, Hugo C.; Tawn, Jonathan A. \(k\)th-order Markov extremal models for assessing heatwave risks. (English) Zbl 1373.60092 Extremes 20, No. 2, 393-415 (2017). MSC: 60G70 62G32 62P12 PDFBibTeX XMLCite \textit{H. C. Winter} and \textit{J. A. Tawn}, Extremes 20, No. 2, 393--415 (2017; Zbl 1373.60092) Full Text: DOI
Lugrin, Thomas; Davison, A. C.; Tawn, J. A. Bayesian uncertainty management in temporal dependence of extremes. (English) Zbl 1360.62246 Extremes 19, No. 3, 491-515 (2016). MSC: 62G32 62F15 62M10 62P12 62E15 60G70 65C60 PDFBibTeX XMLCite \textit{T. Lugrin} et al., Extremes 19, No. 3, 491--515 (2016; Zbl 1360.62246) Full Text: DOI arXiv Link
Sterk, A. E. Extreme amplitudes of a periodically forced Duffing oscillator. (English) Zbl 1353.65135 Indag. Math., New Ser. 27, No. 5, 1059-1067 (2016). MSC: 65P40 37M10 37D45 PDFBibTeX XMLCite \textit{A. E. Sterk}, Indag. Math., New Ser. 27, No. 5, 1059--1067 (2016; Zbl 1353.65135) Full Text: DOI
Wong, Tony Siu Tung Diagnostic check for heavy tail in linear time series. (English) Zbl 1486.62247 Stat. Methodol. 24, 1-11 (2015). MSC: 62M10 62G32 PDFBibTeX XMLCite \textit{T. S. T. Wong}, Stat. Methodol. 24, 1--11 (2015; Zbl 1486.62247) Full Text: DOI
Ergen, Ibrahim Two-step methods in VaR prediction and the importance of fat tails. (English) Zbl 1398.91683 Quant. Finance 15, No. 6, 1013-1030 (2015). MSC: 91G70 62M10 60G70 PDFBibTeX XMLCite \textit{I. Ergen}, Quant. Finance 15, No. 6, 1013--1030 (2015; Zbl 1398.91683) Full Text: DOI
Bódai, Tamás Predictability of threshold exceedances in dynamical systems. (English) Zbl 1364.37163 Physica D 313, 37-50 (2015). MSC: 37M10 37N10 86A10 PDFBibTeX XMLCite \textit{T. Bódai}, Physica D 313, 37--50 (2015; Zbl 1364.37163) Full Text: DOI arXiv Link
Kaiser, Olga; Igdalov, Dimitri; Horenko, Illia Statistical regression analysis of threshold excesses with systematically missing covariates. (English) Zbl 1317.62072 Multiscale Model. Simul. 13, No. 2, 594-613 (2015). MSC: 62M10 62G08 62G32 62P12 PDFBibTeX XMLCite \textit{O. Kaiser} et al., Multiscale Model. Simul. 13, No. 2, 594--613 (2015; Zbl 1317.62072) Full Text: DOI
Gong, X.; Nguyen, H. T.; Kreinovich, V.; Sriboonchitta, S. Examining the consistence of futures margin levels using bivariate extreme value copulas. (English) Zbl 1463.62350 Thai J. Math. 12, Spec. Iss., 39-57 (2014). MSC: 62P20 91B84 62H05 PDFBibTeX XMLCite \textit{X. Gong} et al., Thai J. Math. 12, 39--57 (2014; Zbl 1463.62350) Full Text: Link
Mahmoudian, Behzad; Mohammadzadeh, Mohsen A spatio-temporal dynamic regression model for extreme wind speeds. (English) Zbl 1308.62200 Extremes 17, No. 2, 221-245 (2014). MSC: 62P12 62G32 62M10 PDFBibTeX XMLCite \textit{B. Mahmoudian} and \textit{M. Mohammadzadeh}, Extremes 17, No. 2, 221--245 (2014; Zbl 1308.62200) Full Text: DOI
Raillard, Nicolas; Ailliot, Pierre; Yao, Jianfeng Modeling extreme values of processes observed at irregular time steps: application to significant wave height. (English) Zbl 1454.62455 Ann. Appl. Stat. 8, No. 1, 622-647 (2014). MSC: 62P12 60G70 62G32 PDFBibTeX XMLCite \textit{N. Raillard} et al., Ann. Appl. Stat. 8, No. 1, 622--647 (2014; Zbl 1454.62455) Full Text: DOI arXiv Euclid
Chavez-Demoulin, V.; Embrechts, P.; Sardy, S. Extreme-quantile tracking for financial time series. (English) Zbl 1311.91160 J. Econom. 181, No. 1, 44-52 (2014). MSC: 91B84 91G70 62M10 62G32 PDFBibTeX XMLCite \textit{V. Chavez-Demoulin} et al., J. Econom. 181, No. 1, 44--52 (2014; Zbl 1311.91160) Full Text: DOI
Steinkohl, Christina; Davis, Richard A.; Klüppelberg, Claudia Extreme value analysis of multivariate high-frequency wind speed data. (English) Zbl 1425.62073 J. Stat. Theory Pract. 7, No. 1, 73-94 (2013). MSC: 62G32 62M10 60G70 62P12 PDFBibTeX XMLCite \textit{C. Steinkohl} et al., J. Stat. Theory Pract. 7, No. 1, 73--94 (2013; Zbl 1425.62073) Full Text: DOI
Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi Jump tails, extreme dependencies, and the distribution of stock returns. (English) Zbl 1443.62334 J. Econom. 172, No. 2, 307-324 (2013). MSC: 62P05 62G32 62M10 PDFBibTeX XMLCite \textit{T. Bollerslev} et al., J. Econom. 172, No. 2, 307--324 (2013; Zbl 1443.62334) Full Text: DOI Link Link
Hamidieh, Kamal; Stoev, Stilian; Michailidis, George Intensity-based estimation of extreme loss event probability and value at risk. (English) Zbl 1285.62054 Appl. Stoch. Models Bus. Ind. 29, No. 3, 171-186 (2013). MSC: 62G32 62M10 91B30 PDFBibTeX XMLCite \textit{K. Hamidieh} et al., Appl. Stoch. Models Bus. Ind. 29, No. 3, 171--186 (2013; Zbl 1285.62054) Full Text: DOI Link
Furió, Dolores; Climent, Francisco J. Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation. (English) Zbl 1280.91198 Quant. Finance 13, No. 1, 45-63 (2013). MSC: 91G70 62M10 62G32 91B82 PDFBibTeX XMLCite \textit{D. Furió} and \textit{F. J. Climent}, Quant. Finance 13, No. 1, 45--63 (2013; Zbl 1280.91198) Full Text: DOI Link
Naess, A.; Gaidai, O.; Karpa, O. Estimation of extreme values by the average conditional exceedance rate method. (English) Zbl 1273.62109 J. Probab. Stat. 2013, Article ID 797014, 15 p. (2013). MSC: 62G32 62M10 PDFBibTeX XMLCite \textit{A. Naess} et al., J. Probab. Stat. 2013, Article ID 797014, 15 p. (2013; Zbl 1273.62109) Full Text: DOI
Kunihama, Tsuyoshi; Omori, Yasuhiro; Zhang, Zhengjun Efficient estimation and particle filter for max-stable processes. (English) Zbl 1300.62094 J. Time Ser. Anal. 33, No. 1, 61-80 (2012). MSC: 62M20 60G70 60G52 62F15 60J22 62P05 91G70 91B84 PDFBibTeX XMLCite \textit{T. Kunihama} et al., J. Time Ser. Anal. 33, No. 1, 61--80 (2012; Zbl 1300.62094) Full Text: DOI Link
Dupuis, Debbie J. Modeling waves of extreme temperature: the changing tails of four cities. (English) Zbl 1261.62104 J. Am. Stat. Assoc. 107, No. 497, 24-39 (2012). MSC: 62P12 62M10 62G32 65C60 PDFBibTeX XMLCite \textit{D. J. Dupuis}, J. Am. Stat. Assoc. 107, No. 497, 24--39 (2012; Zbl 1261.62104) Full Text: DOI
Nakajima, Jouchi; Kunihama, Tsuyoshi; Omori, Yasuhiro; Frühwirth-Schnatter, Sylvia Generalized extreme value distribution with time-dependence using the AR and MA models in state space form. (English) Zbl 1255.62150 Comput. Stat. Data Anal. 56, No. 11, 3241-3259 (2012). MSC: 62G32 62M10 65C40 62P05 62F15 PDFBibTeX XMLCite \textit{J. Nakajima} et al., Comput. Stat. Data Anal. 56, No. 11, 3241--3259 (2012; Zbl 1255.62150) Full Text: DOI
Cai, Yuzhi Multi-variate time-series simulation. (English) Zbl 1294.62191 J. Time Ser. Anal. 32, No. 5, 566-579 (2011). MSC: 62M10 62H12 62P12 PDFBibTeX XMLCite \textit{Y. Cai}, J. Time Ser. Anal. 32, No. 5, 566--579 (2011; Zbl 1294.62191) Full Text: DOI
Gong, Zhiyun; Kiessler, Peter; Lund, Robert A prediction-residual approach for identifying rare events in periodic time series. (English) Zbl 1294.62201 J. Time Ser. Anal. 32, No. 4, 407-419 (2011). MSC: 62M10 60G70 62P12 PDFBibTeX XMLCite \textit{Z. Gong} et al., J. Time Ser. Anal. 32, No. 4, 407--419 (2011; Zbl 1294.62201) Full Text: DOI
Macaro, Christian Bayesian non-parametric signal extraction for Gaussian time series. (English) Zbl 1431.62435 J. Econom. 157, No. 2, 381-395 (2010). MSC: 62M20 62F15 62M10 62M15 PDFBibTeX XMLCite \textit{C. Macaro}, J. Econom. 157, No. 2, 381--395 (2010; Zbl 1431.62435) Full Text: DOI
Diop, A.; Diouf, S. Extreme value theory for nonstationary random coefficients time series with regularly varying tails. (English) Zbl 1266.62062 Afr. Stat. 5, 268-278 (2010). MSC: 62M10 62G32 60G55 PDFBibTeX XMLCite \textit{A. Diop} and \textit{S. Diouf}, Afr. Stat. 5, 268--278 (2010; Zbl 1266.62062) Full Text: Link
Ross, Andrew M. Computing bounds on the expected maximum of correlated normal variables. (English) Zbl 1191.60024 Methodol. Comput. Appl. Probab. 12, No. 1, 111-138 (2010). MSC: 60E15 60J65 60K10 65C50 PDFBibTeX XMLCite \textit{A. M. Ross}, Methodol. Comput. Appl. Probab. 12, No. 1, 111--138 (2010; Zbl 1191.60024) Full Text: DOI
Zhang, Zhengjun; Smith, Richard L. On the estimation and application of max-stable processes. (English) Zbl 1181.62150 J. Stat. Plann. Inference 140, No. 5, 1135-1153 (2010). MSC: 62M10 62G05 62G32 62M09 PDFBibTeX XMLCite \textit{Z. Zhang} and \textit{R. L. Smith}, J. Stat. Plann. Inference 140, No. 5, 1135--1153 (2010; Zbl 1181.62150) Full Text: DOI
Ying, Wenxia; Huerta, Gabriel; Steinberg, Stanly; Zúñiga, Martha Time series analysis of particle tracking data for molecular motion on the cell membrane. (English) Zbl 1181.92016 Bull. Math. Biol. 71, No. 8, 1967-2024 (2009). MSC: 92C37 92C05 62M10 62P10 PDFBibTeX XMLCite \textit{W. Ying} et al., Bull. Math. Biol. 71, No. 8, 1967--2024 (2009; Zbl 1181.92016) Full Text: DOI
Bi, Guang; Giles, David E. Modelling the financial risk associated with U.S. Movie box office earnings. (English) Zbl 1168.91466 Math. Comput. Simul. 79, No. 9, 2759-2766 (2009). MSC: 91B74 91B30 91B84 PDFBibTeX XMLCite \textit{G. Bi} and \textit{D. E. Giles}, Math. Comput. Simul. 79, No. 9, 2759--2766 (2009; Zbl 1168.91466) Full Text: DOI
Elek, Péter; Zempléni, András Modelling extremes of time-dependent data by Markov-switching structures. (English) Zbl 1159.62056 J. Stat. Plann. Inference 139, No. 6, 1953-1967 (2009). MSC: 62M10 62M05 62P12 62G32 65C60 PDFBibTeX XMLCite \textit{P. Elek} and \textit{A. Zempléni}, J. Stat. Plann. Inference 139, No. 6, 1953--1967 (2009; Zbl 1159.62056) Full Text: DOI
Bernardara, Pietro; Schertzer, Daniel; Sauquet, Eric; Tchiguirinskaia, Ioulia; Lang, Michel The flood probability distribution tail: How heavy is it? (English) Zbl 1169.62395 Stoch. Environ. Res. Risk Assess. 22, No. 1, 107-122 (2008). MSC: 62P12 62G32 62M10 62F10 PDFBibTeX XMLCite \textit{P. Bernardara} et al., Stoch. Environ. Res. Risk Assess. 22, No. 1, 107--122 (2008; Zbl 1169.62395) Full Text: DOI
Elek, Péter; Márkus, Lászlo A light-tailed conditionally heteroscedastic model with applications to river flows. (English) Zbl 1164.62044 J. Time Ser. Anal. 29, No. 1, 14-36 (2008). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 62M10 62F12 86A05 62M20 PDFBibTeX XMLCite \textit{P. Elek} and \textit{L. Márkus}, J. Time Ser. Anal. 29, No. 1, 14--36 (2008; Zbl 1164.62044) Full Text: DOI
Fawcett, Lee; Walshaw, David Bayesian inference for clustered extremes. (English) Zbl 1157.62028 Extremes 11, No. 3, 217-233 (2008). Reviewer: R. E. Maiboroda (Kyïv) MSC: 62G32 62F15 65C60 PDFBibTeX XMLCite \textit{L. Fawcett} and \textit{D. Walshaw}, Extremes 11, No. 3, 217--233 (2008; Zbl 1157.62028) Full Text: DOI
Withers, C. S.; Krouse, D. P.; Pearson, C. P.; Nadarajah, S. Modelling time series when mean and variability both change. (English) Zbl 1131.62083 Math. Comput. Simul. 77, No. 1, 57-63 (2008). MSC: 62M10 62P12 62F10 PDFBibTeX XMLCite \textit{C. S. Withers} et al., Math. Comput. Simul. 77, No. 1, 57--63 (2008; Zbl 1131.62083) Full Text: DOI
Canty, Angelo J.; Davison, Anthony C.; Hinkley, David V.; Ventura, Valérie Bootstrap diagnostics and remedies. (English) Zbl 1096.62035 Can. J. Stat. 34, No. 1, 5-27 (2006). MSC: 62G09 62F40 65C60 PDFBibTeX XMLCite \textit{A. J. Canty} et al., Can. J. Stat. 34, No. 1, 5--27 (2006; Zbl 1096.62035) Full Text: DOI
Chavez-Demoulin, V.; Davison, A. C.; McNeil, A. J. Estimating value-at-risk: a point process approach. (English) Zbl 1118.91353 Quant. Finance 5, No. 2, 227-234 (2005). MSC: 91B84 91B28 91B30 PDFBibTeX XMLCite \textit{V. Chavez-Demoulin} et al., Quant. Finance 5, No. 2, 227--234 (2005; Zbl 1118.91353) Full Text: DOI
Gaetan, Carlo; Grigoletto, Matteo Smoothing sample extremes with dynamic models. (English) Zbl 1090.62047 Extremes 7, No. 3, 221-236 (2004). Reviewer: R. E. Maiboroda (Kyïv) MSC: 62G32 62M10 65C05 PDFBibTeX XMLCite \textit{C. Gaetan} and \textit{M. Grigoletto}, Extremes 7, No. 3, 221--236 (2004; Zbl 1090.62047) Full Text: DOI
Bortot, Paola; Coles, Stuart Extremes of Markov chains with tail switching potential. (English) Zbl 1065.62088 J. R. Stat. Soc., Ser. B, Stat. Methodol. 65, No. 4, 851-867 (2003). MSC: 62G32 62M10 62P05 60J27 65C60 PDFBibTeX XMLCite \textit{P. Bortot} and \textit{S. Coles}, J. R. Stat. Soc., Ser. B, Stat. Methodol. 65, No. 4, 851--867 (2003; Zbl 1065.62088) Full Text: DOI