101 citations · 226 across the 14 of their papers we have counts for
5 papers · 1 filter
Hypotheses tests in boundary regression models
Holger Drees, Natalie Neumeyer, Leonie Selk
Consider a nonparametric regression model with one-sided errors and regression function in a general Hölder class. We estimate the regression function via minimization of the local…
Statistics for Tail Processes of Markov Chains
Holger Drees, Johan Segers, Michał Warchoł
At high levels, the asymptotic distribution of a stationary, regularly varying Markov chain is conveniently given by its tail process. The latter takes the form of a geometric rand…
Bias correction for estimators of the extremal index
Holger Drees
We investigate the joint asymptotic behavior of so-called blocks estimator of the extremal index, that determines the mean length of clusters of extremes, based on the 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…
Extreme value analysis of actuarial risks: estimation and model validation
Holger Drees
We give an overview of several aspects arising in the statistical analysis of extreme risks with actuarial applications in view. In particular it is demonstrated that empirical pro…