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Sur La Distribution Limite Du Terme Maximum D'Une Serie Aleatoire
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This article is published in Annals of Mathematics.The article was published on 1943-07-01. It has received 2037 citations till now.read more
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Approximating the conditional density given large observed values via a multivariate extremes framework, with application to environmental data
TL;DR: In this paper, the authors proposed a method based on extreme value theory to approximate the conditional distribution of an unobserved component of a random vector given large observed values, such as air pollution levels.
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Seasonal autoregressive modeling of a skew storm surge series
TL;DR: In this article, seasonal AR models of skew surge series are built on 35 sites located along the coasts of the European Atlantic Ocean, the English Channel and the Southern part of the North Sea.
Journal Article
Detecting influential data points for the Hill estimator in Pareto-type distributions
TL;DR: In this paper, the empirical influence function plot, which displays the influence that each data point has on the Hill estimator, is introduced to avoid a masking effect, and is based on a new robust GLM estimator for extreme value index @c>0.
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An extreme value theory approach to the allocation of multiple assets
TL;DR: In this article, the authors investigate the portfolio construction problem for risk-averse investors seeking to minimize quantile based measures of risk, and develop a methodology for asset allocation where the goal is to guard against catastrophic losses.
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Milk Heat Exchanger Cleaning: Modelling of Deposit Removal II
TL;DR: In this article, the authors used a two-parameter exponential function with a specific time constant (the time, at which a cleaning degree of cleaning of 63.2% is achieved) and a parameter that is called slope (in a special grid the equation is a straight line with this slope).