22 citations · 25 across the 6 of their papers we have counts for
3 papers · 1 filter
Robust and non asymptotic estimation of probability weighted moments with application to extreme value analysis
Anna Ben-Hamou, Philippe Naveau, Maud Thomas
In extreme value theory and other related risk analysis fields, probability weighted moments (PWM) have been frequently used to estimate the parameters of classical extreme value d…
Generalized Pareto Regression Trees for extreme events analysis
Sébastien Farkas, Antoine Heranval, Olivier Lopez +1
In this paper, we provide finite sample results to assess the consistency of Generalized Pareto regression trees, as tools to perform extreme value regression. The results that we…
Tail index estimation, concentration and adaptivity
Stéphane Boucheron, Maud Thomas
This paper presents an adaptive version of the Hill estimator based on Lespki's model selection method. This simple data-driven index selection method is shown to satisfy an oracle…