In this chapter the author provide a personal view on some recent concepts and methods of statistics of extremes, and he discusses the challenges and opportunities could lead to potential future developments. Measure-dependent measures are here introduced as a natural probabilistic concept for modeling bivariate extreme values, and predictor-dependent spectral measures are discussed as a natural concept for modeling extremal dependence structures which vary according to a covariate. Families of tilted measures are introduced as a unifying device connecting some recently proposed approaches. En passant,he has discussed a new estimator for the so-called scedasis function.
|Title of host publication||Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications|
|Place of Publication||Hoboken|
|Publication status||Published - 17 Oct 2016|