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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Journal ArticleDOI
Renormalization flow for extreme value statistics of random variables raised to a varying power
TL;DR: In this article, the authors study the asymptotic limit distribution of the maximum value in a set of independent and identically distributed random variables raised to a power qn that varies monotonically with the sample size n. Under these conditions, a nonstandard class of max-stable limit distributions, which mirror the classical ones, emerges.
Posted Content
Nonparametric estimation of extremal dependence
TL;DR: In this paper, the authors consider the problem of modeling the joint tail of a multivariate distribution by modelling the marginal distributions and the dependence structure separately. But in case of asymptotic independence, this setting is inadequate, and more refined tail dependence coefficients exist, serving, among others, to discrim- inate between the dependence and independence.
Book ChapterDOI
Concomitants of Extreme Order Statistics
TL;DR: In this article, the authors treat the asymptotic distribution theory of concomitants when r or n-r remains fixed as n→∞, and generalize the theorem of Galambos (1978) to the special case of a linear regression linking X and Y.
Journal ArticleDOI
A new extension of the class of regularly varying functions
TL;DR: In this paper, the authors define a new class of positive and Lebesgue measurable functions in terms of their asymptotic behavior, which includes the class of regularly varying functions.
Dissertation
Structures de dépendance et résultats limites avec applications en finance assurance
TL;DR: In this paper, the authors present an enquete (une vue generale) on dependance and resultats standard sur copulae, avec des demandes(applications) dans la finance and l'assurance.