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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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Extreme Values and Their Applications in Finance
TL;DR: In this paper, both unconditional and conditional concepts of extreme values are discussed, and the authors use daily log returns of IBM stock to illustrate the applications of the methods discussed in this lecture.
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Spatial assessment of extreme significant waves heights in the gulf of lions
Romain Chailan,Gwladys Toulemonde,Frédéric Bouchette,Anne Laurent,Florence Sevault,Héloïse Michaud +5 more
TL;DR: In this paper, the authors discuss the extreme waves hazards in the Gulf of Lions, focusing on their spatial behaviour, using max-stable processes, an extension of the well-known generalized extreme value (GEV) distribution.
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Asymptotic properties of sums of upper records
TL;DR: In this article, the authors provide sufficient conditions on the distribution for the properly normalized partial sums to converge to a standard normal distribution, and show that their conditions are general enough so that the examples provided by Arnold and Villasenor (1999) are covered by their results.
Improvements in the estimation of a heavy tail
TL;DR: In this paper, the authors propose a non-invariant estimator for the tail index, which is based on the scaling of the scale of the data, from X to X/τ.
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Gumbel distribution in exit problems
TL;DR: In this article, the connection between the Gumbel limit for diffusion exit times and the theory of extreme values is explained, and the connection is further explored in the context of extreme value theory.