Journal ArticleDOI
Sur La Distribution Limite Du Terme Maximum D'Une Serie Aleatoire
Reads0
Chats0
About:
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
Citations
More filters
Proceedings ArticleDOI
Heart of Gold: Making the Improbable Happen to Increase Confidence in MBPTA
TL;DR: A method for detecting risk scenarios for time-randomised caches, based on principles that apply to any other time- randomised resource which may challenge the application of MBPTA is presented.
Proceedings Article
Extreme bandits
TL;DR: This work proposes the EXTREMEHUNTER algorithm, provides its analysis, and evaluates it empirically on synthetic and real-world experiments to measure the efficiency of an algorithm compared to the oracle policy selecting the source with the heaviest tail.
Journal ArticleDOI
A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
TL;DR: In this article, the authors derived the finite limiting value of k/k 1, where k is the number of top-order statistics used in the estimation of the bias, and k 1 of a larger order than that of the level k at which we compute the tail index estimators.
Journal ArticleDOI
Extreme Value Statistics of the Total Energy in an Intermediate Complexity Model of the Mid-latitude Atmospheric Jet. Part I: Stationary case
TL;DR: In this paper, a baroclinic model for the atmospheric jet at middle-latitudes is used as a stochastic generator of time series of the total energy of the system.
Journal ArticleDOI
Managing extreme risk in some major stock markets: An extreme value approach
TL;DR: In this paper, the relative performance of value-at-risk (VaR) models using daily share price index data from six different countries across Asia, Europe and the United States for a period of 10 years from January 01, 2000 to December 31, 2009 was investigated.