210 citations · 337 across the 4 of their papers we have counts for
5 papers
Extreme Value Estimation for Discretely Sampled Continuous Processes
Holger Drees, Laurens de Haan, Feridun Turkman
In environmental applications of extreme value statistics, the underlying stochastic process is often modeled either as a max-stable process in continuous time/space or as a proces…
On the block maxima method in extreme value theory: PWM estimators
Ana Ferreira, Laurens de Haan
In extreme value theory, there are two fundamental approaches, both widely used: the block maxima (BM) method and the peaks-over-threshold (POT) method. Whereas much theoretical re…
The generalized Pareto process; with a view towards application and simulation
Ana Ferreira, Laurens de Haan
In extreme value statistics, the peaks-over-threshold method is widely used. The method is based on the generalized Pareto distribution characterizing probabilities of exceedances…
Estimating failure probabilities
Holger Drees, Laurens de Haan
In risk management, often the probability must be estimated that a random vector falls into an extreme failure set. In the framework of bivariate extreme value theory, we construct…
On tail trend detection: modeling relative risk
Laurens de Haan, Albert Klein Tank, Cláudia Neves
The climate change dispute is about changes over time of environmental characteristics (such as rainfall). Some people say that a possible change is not so much in the mean but rat…