3 papers
math.ST2017
Modification of Moment-Based Tail Index Estimator: Sums versus Maxima
Natalia Markovich, Marijus Vaičiulis
In this paper we continue the investigation of the SRCEN estimator of the extreme value index (or the tail index ) proposed in \cite{MCE} for . We propose a new e…
math.ST2017
Clustering and Hitting Times of Threshold Exceedances and Applications
Natalia Markovich
We investigate exceedances of the process over a sufficiently high threshold. The exceedances determine the risk of hazardous events like climate catastrophes, huge insurance claim…
math.ST2015
Extremes Control of Complex Systems With Applications to Social Network
Natalia Markovich
The control and risk assessment in complex information systems require to take into account extremes arising from nodes with large node degrees. Various sampling techniques like a…