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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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Adaptive Threshold Estimation via Extreme Value Theory
Joshua Broadwater,Rama Chellappa +1 more
TL;DR: This work proposes an algorithm using extreme value theory through the use of the generalized Pareto distribution (GPD) and a Kolmogorov-Smirnov statistical test to adaptively maintain low false alarm rates in the presence of targets.
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Recurrence of extreme events with power‐law interarrival times
TL;DR: In this article, the density of the maxima of a sequence of random extreme events with any distribution of random interarrivals was solved by applying a continuous time random max model, similar to a random walk model.
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First Passage Time and Extremum Properties of Markov and Independent Processes
TL;DR: In this article, it was shown that the extreme value and first passage time distributions of common Markov processes asymptotically approach those for independent random variables, and the conditions on both the time and space variables under which this equivalence holds were established.
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Order Statistics from Discrete Distributions
TL;DR: A survey of results on order statistics of a random sample taken from a discrete population is given in this article, where the authors discuss finite sample distribution theory and characterization results, and study the dependence structure.
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Operational Risk: The Sting is Still in the Tail but the Poison Depends on the Dose
TL;DR: In this article, the authors investigated the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk, in the New Basel Capital Accord ("Basel II").