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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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Universal behavior of extreme value statistics for selected observables of dynamical systems
TL;DR: In this paper, it has been shown that the limiting distribution for the exceedances of the observables previously studied with the Gnedenko approach is a Generalized Pareto distribution where the parameters depend only on the local dimensions and the value of the threshold.
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A default Bayesian procedure for the generalized Pareto distribution
TL;DR: In this article, the generalized Pareto distribution is used to model the exceedances over a threshold in a number of fields, including the analysis of environmental extreme events and financial data analysis.
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Estimating the parameters of rare events
TL;DR: In this paper, the estimation of certain parameters of the extreme order statistics of stationary observations is considered in a general framework, and their inference is substantially different from similar considerations in the i.i.d. context.
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Procedures for Estimating Optimal Solution Values for Large Combinatorial Problems
TL;DR: In this article, the authors focus on methods for generating useful solution standards for large combinatorial problems, in particular, several procedures that provide point estimates of the value of the optimum solution are suggested and tested.
Journal ArticleDOI
Universal Behaviour of Extreme Value Statistics for Selected Observables of Dynamical Systems
TL;DR: In this article, it was shown that the Generalised Pareto distribution for the exceedances over a given threshold instead of the block-maxima approach is possible to obtain a Generalised Extreme Value (GEV) distribution also for extremes computed in systems which do not satisfy mixing conditions.