Conditional Extremes and Near-Extremes

Digitized by the Internet Archive in 2011 with Funding from Conditional Extremes and Near-extremes Conditional Extremes and Near-extremes Conditional Extremes and Near-extremes Discussions and from Whom I Learned a Great Deal; and Also Friends

This paper develops a theory of high and low (extremal) quantile regression: the linear models, estimation, and inference. In particular, the models coherently combine the convenient, flexible linearity with the extreme-value-theoretic restrictions on tails and the general heteroscedasticity forms. Within these models, the limit laws for extremal quantile regression statistics are obtained unde...

Conference on Conditional Independence Structures and Extremes

s of Talks Sven Buhl, Technical University of Munich, Germany Semiparametric estimation for max-stable space-time processes Abstract: We propose a semiparametric estimation procedure based on a closed form expression of the extremogram (cf. [2], [3], [4]) to estimate the model parameters in a max-stable space-time process. We establish the asymptotic properties of the resulting parameter estima...

Extremes in Economics and the Economics of Extremes

Within econometrics, probability theory and statistics, an enormous literature exists on the topic of Extremes in Economics. See for instance Mikosch [47] and Klüppelberg [36] in this volume, and the numerous references listed in those contributions. For a long time, econometric research has shown that, for instance logarithmic returns of financial data are non–normal. Extremal moves up or down...

A Note on the Asymptotic Behavior of Conditional Extremes

Suppose (X1,Zl)"'" (Xn,Zn) are LLd. as (X,Z). Let Mn,k be the maximum of all Z. 's for which X. is among the k-nearest neighbors of X=xO' It is shown that M k has the lI , same asymptotic distribution as the maximum of k LLd. copies of the random variable Z given X=xO' Hence, the asymptotic results for Li.d. observations are applicable to this· situation as well. Key' words: nearest neighbor, c...

Meteorological Extremes