Penalized likelihood inference in extreme value analyses

By Francesco Pauli, Stuart Coles. 2001

63 citations recorded by the source corpus.

Subfields: Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/63f1a424cf6716fffdce43d9a0389dbc6be4e8e8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. A. C. Davison
2. Mathieu Ribatet
3. Raphaël Huser
4. Benjamin D. Youngman
5. Simone A. Padoan
6. Mehdi Mohammad Gholamrezaee
7. Emeric Thibaud
8. V. Chavez‐Demoulin

In Global and Planetary Change

1. A. C. Davison
2. Mathieu Ribatet
3. Raphaël Huser
4. Simone A. Padoan
5. Benjamin D. Youngman
6. Mehdi Mohammad Gholamrezaee
7. V. Chavez‐Demoulin
8. Emeric Thibaud

Citations in the corpus

• Statistical Modeling of Spatial Extremes (2012, background): “Smoothing for extremes is also discussed by Pauli and Coles (2001), Chavez-Demoulin and Davison (2005), Laurini and Pauli (2009) and Padoan and Wand (2008), and might be essential over larger spatial domains.”
• Statistical Modelling of Spatial Extremes (2012, background): “Smoothing for extremes is also discussed by Pauli and Coles (2001), Chavez-Demoulin and Davison (2005), Laurini and Pauli (2009) and Padoan and Wand (2008), and might be essential over larger spatial domains.”
• Generalized Additive Models for Exceedances of High Thresholds With an Application to Return Level Estimation for U.S. Wind Gusts (2019, background): “Pauli and Coles (2001) proposed smooth models for extreme value distribution parameters based on penalized likelihood, while Chavez-Demoulin and Davison (2005) proposed a generalized additive model (GAM) framework for such parameters that could accommodate parametric and smooth terms.”
• Statistics of Extremes (2004, methodology): “In order to avoid underestimation of the true uncertainty in the estimates of η as a consequence of the uncertainty introduced by possible marginal transformations, which is, for example, not accounted for in the above procedure, Peng (1999) and Draisma et al.”
• Geostatistics of extremes (2012, background): “A (2012) There is a close relation between the extremal coefficient and the madogram proposed by Poncet et al. (2006) and further developed by Naveau et al. (2009), an extreme-value analogue of the variogram (Cressie 1993, p. 58).”
• Generalized additive modelling of sample extremes (2005, background): “Related work is by Pauli and Coles (2001), who took a Bayesian approach to assessment of uncertainty.”
• Modelling Time Series Extremes (2012, methodology): “The penalized likelihood approach has been applied to various extremal models by Pauli & Coles (2001) and Chavez-Demoulin & Davison (2005).”