Detecting a conditional extreme value model
نویسندگان
چکیده
منابع مشابه
Markov Kernels and the Conditional Extreme Value Model
The classical approach to extreme value modelling for multivariate data is to assume that the joint distribution belongs to a multivariate domain of attraction. In particular, this requires that each marginal distribution be individually attracted to a univariate extreme value distribution. The domain of attraction condition may be phrased conveniently in terms of regular variation of the joint...
متن کاملDetecting hypermotor seizures using extreme value statistics
Nocturnal home monitoring of epileptic children is often not feasible due to the cumbersome manner of seizure detection with the standard method of video/EEG-monitoring. We propose a method for hypermotor seizure detection based on accelerometers attached to the extremities. Hypermotor seizures often involve violent movements with the arms or legs, which increases the need for an alarm system a...
متن کاملA moment estimator for the conditional extreme-value index
In extreme value theory, the so-called extreme-value index is a parameter that controls the behavior of a distribution function in its right tail. Knowing this parameter is thus essential to solve many problems related to extreme events. In this paper, the estimation of the extreme-value index is considered in the presence of a random covariate, whether the conditional distribution of the varia...
متن کاملEstimating the conditional extreme-value index under random right-censoring
In extreme value theory, the extreme-value index is a parameter that controls the behavior of a cumulative distribution function in its right tail. Estimating this parameter is thus the first step when tackling a number of problems related to extreme events. In this paper, we introduce an estimator of the extreme-value index in the presence of a random covariate when the response variable is ri...
متن کاملInvestigating the Correlation of Selected Banks with Dynamic Conditional Correlation (DCC) Model and Identifying Systemically Important Banks with Conditional Value at Risk and Shapley Value Method
Systemic risk arises from simultaneous movement or correlations between market segments; Thus, systemic risk occurs when there is a high correlation between the risks and crises of different market segments or institutions operating in the economy, or when the risks of different segments in a market segment or a country are related to other segments and other countries. This paper presents a me...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Extremes
سال: 2009
ISSN: 1386-1999,1572-915X
DOI: 10.1007/s10687-009-0097-3