83 citations · 86 across the 5 of their papers we have counts for
4 papers · 1 filter
Risk measure estimation for -mixing time series and applications
Valérie Chavez-Demoulin, Armelle Guillou
In this paper, we discuss the application of extreme value theory in the context of stationary -mixing sequences that belong to the Fréchet domain of attraction. In particular,…
Uniform strong consistency of a frontier estimator using kernel regression on high order moments
Stephane Girard, Armelle Guillou, Gilles Stupfler
We consider the high order moments estimator of the frontier of a random pair introduced by Girard, S., Guillou, A., Stupfler, G. (2012). {\it Frontier estimation with kernel regre…
Bias-reduced estimators of the Weibull tail-coefficient
J. Diebolt, L. Gardes, S. Girard +1
In this paper, we consider the problem of the estimation of a Weibull tail-coefficient. In particular, we propose a regression model, from which we derive a bias-reduced estimator.…
Statistics of extremes under random censoring
John H. J. Einmahl, Amélie Fils-Villetard, Armelle Guillou
We investigate the estimation of the extreme value index when the data are subject to random censorship. We prove, in a unified way, detailed asymptotic normality results for vario…