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 asymptotics of discrete order statistics
TL;DR: In this article, the asymptotics of the likelihood that the sample maximum is achieved k times and in its spacing relative to the second highest value are studied. But the results are not applicable to the case of Markovian samples.
Journal ArticleDOI
Return times of hot and cold days via recurrences and extreme value theory
TL;DR: In this article, a model evaluation and comparison metric based on the methodology introduced in Faranda et al. (Geophys Res Lett 40(21):5782-5786, 2013) to assess biases and their potential origins in a historical model simulation against long-term reanalysis is introduced.
Book ChapterDOI
Extreme Values, Quantile Estimation, and Value at Risk
TL;DR: In this paper, the authors discuss various methods for calculating value at risk (VaR) and the statistical theories behind these methods, in particular, the extreme value theory developed in the statistical literature for studying rare (or extraordinary) events and its application to VaR.
Book ChapterDOI
2 Order statistics: A historical perspective
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Statistiques des valeurs extrêmes dans le cas de lois discrètes
Anis Borchani,Anis Borchani +1 more
TL;DR: A method to generate a warning system for the early detection of time clusters in discrete time series using an approximation of the return period of an extreme event independently of the nature of the data is proposed.