Statistics of Extremes: Challenges and Opportunities

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Abstract

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.
Original languageEnglish
Title of host publicationExtreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications
EditorsF. Longin
Place of PublicationHoboken
PublisherWiley
ISBN (Electronic)9781118650318
ISBN (Print)9781118650196
DOIs
Publication statusPublished - 17 Oct 2016

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