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04/15/2023
Marginal expected shortfall inference under multivariate regular variation
Marginal expected shortfall is unquestionably one of the most popular sy...
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01/05/2023
Strong Convergence of Peaks Over a Threshold
Extreme Value Theory plays an important role to provide approximation re...
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10/05/2022
Extreme expectile estimation for short-tailed data
The use of expectiles in risk management contexts has recently gathered ...
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04/11/2022
Empirical Bayes inference for the block maxima method
The block maxima method is one of the most popular approaches for extrem...
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11/04/2021
Optimal pooling and distributed inference for the tail index and extreme quantiles
This paper investigates pooling strategies for tail index and extreme qu...
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07/17/2020
Joint inference on extreme expectiles for multivariate heavy-tailed distributions
The notion of expectiles, originally introduced in the context of testin...
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04/08/2020
Extreme expectile estimation for heavy-tailed time series
Expectiles define a least squares analogue of quantiles. They have latel...
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04/17/2019
Estimation and uncertainty quantification for extreme quantile regions
Estimation of extreme quantile regions, spaces in which future extreme e...
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03/30/2019
Strong Consistency of Nonparametric Bayesian Inferential Methods for Multivariate Max-Stable Distributions
Predicting extreme events is important in many applications in risk anal...
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09/28/2018
Extremal properties of the multivariate extended skew-normal distribution
The skew-normal and related families are flexible and asymmetric paramet...
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07/01/2018
Records for Some Stationary Dependent Sequences
For a zero-mean, unit-variance second-order stationary univariate Gaussi...
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07/01/2018
Records for Some Stationary Dependence Sequences
For a zero-mean, unit-variance second-order stationary univariate Gaussi...
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05/08/2018
Extremal properties of the extended skew-normal distribution
The skew-normal and related families are flexible and asymmetric paramet...
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12/27/2017
