2 papers
stat.ME2026
Bias-corrected empirical likelihood-based inference for the tail index under heavy-tailed models
Haodi Liang, Natalia Nolde
The tail index parameter of heavy-tailed probability models plays a key role in characterizing the tail decay of the underlying distribution function and is often involved in extra…
stat.ME2025
Modelling peaks over thresholds in panel data: a two-level grouped panel generalized Pareto regression
Zefan Liu, Natalia Nolde
Panel data arise in a wide range of application areas, and developing modelling methods for extreme values under such a setup is essential for reliable risk assessment and manageme…