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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Extreme Value Theory
TL;DR: In this article, the authors summarize results in extreme value theory, which are primarily based on the condition that the upper tail of the underlying df is in the δ-neighborhood of a generalized Pareto distribution.
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Toward a Copula Theory for Multivariate Regular Variation
TL;DR: In this paper, the basic ingredients of a measure-theoretic copula theory for multivariate regular variation are presented, and the method is based on extraction of scale-invariant extremal dependence from the intensity measure by standardizing its margins.
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Large deviations for random projections of $\ell^p$ balls
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Extreme Value Analysis Methods Used for Extreme Wave Prediction
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Mixed Poisson distributions tail equivalent to their mixing distributions
TL;DR: In this paper, two broad classes of mixing distributions that generate mixed Poisson distributions with this property are identified: unbounded, non-negative distributions with mild regularity conditions that satisfy either (a) the von Mises condition for the Frechet extreme value domain of attraction; or (b) the Von Mises conditions for the Gumbel extreme value Domain of attraction and have hazard rates f ( t )/(1 − F ( t )) of order o( t − b ) for some δ ⩾ 1 2 as t → ∞.