Journal ArticleDOI
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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On the Robust Design of Adaptive Distributed Beamforming for Wireless Sensor/Relay Networks
TL;DR: A bio-inspired scheme, BioRARSA2, is developed which possess significantly superior robustness with respect to environmental variations and system uncertainties, and is validated further through extensive numerical simulations.
Dissertation
Estimation d'une fonction quantile extrême
TL;DR: In this paper, the authors introduce a prealable estimateur de l'indice de valeur extreme and deduisons un estimateur of quantile extreme, i.e. d'ordre inferieur a 1/n) of the fonction de repartition conditionnelle de X sachant que X=x.
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Back to the future: Futures margins in a future credit default swap index futures market
TL;DR: In this article, a theoretically appealing and practically implementable approach to computing accurate futures margins based on extreme value theory is suggested and exemplified with a study of the increasingly popular iTraxx Europe CDS index market.
Best Practice Life Expectancy - An Extreme Value Approach
TL;DR: In this paper, the authors examined the evolution of best-practice life expectancy by using extreme value theory and showed that generalized extreme value distributions offer a theoretically justified way to model best practice life expectancies.
Journal ArticleDOI
Sojourns and extremes of a stochastic process defined as a random linear combination of arbitrary functions
TL;DR: In this article, limit theorems for the distribution of L u and for P(max t Xt ≥ u, for u ↑ x0, for real u < x 0, let L u be the sojourn time of X t, 0 ≤ t ≤ 1, above u.