On convergence toward an extreme value distribution in C[0,1]

By Laurens de Haan, Tao Lin. 2001

108 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/6a32f8a501ab05389646f5772f0f16768f338b47

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Citations in the corpus

An M‐estimator of spatial tail dependence (2014, background): “S/; see de Haan and Lin (2001) for a full characterization of max-domain of attraction conditions for the case S = [0, 1].”
Efficient inference and simulation for elliptical Pareto processes (2013, background): “Prior to the characterization of max-stable convergence in C(K) due to de Haan & Lin (2001), convergence was typically defined in terms of multivariate distributions.”
Extremal stochastic integrals: a parallel between max-stable processes and α-stable processes (2005, background): “Giné, Hahn and Vatan (1990) and, recently, de Haan and Lin (2001, 2003) and Hult and Lindskog (2005) use a different perspective of exponent measures on the spaces of paths to handle the laws of max–infinitely divisible and max–stable processes.”
REGULAR VARIATION FOR MEASURES ON METRIC SPACES (2006, methodology): “In the space C([0, 1];R) of continuous functions it is used to characterize max-stable distributions and convergence in distribution of normalized partial maxima (see [11] and [12]).”
On spatial extremes: With application to a rainfall problem (2008, background): “The following proposition is useful for our purposes [de Haan and Lin (2001)].”
High-dimensional peaks-over-threshold inference (2018, background): “…5) or unit Pareto (Klüppelberg and Resnick, 2008), regular variation is equivalent to the convergence of the renormalised pointwise maximum n−1 maxi=1,...,n X∗i of independent replicates of X∗ to a non-degenerate process Z∗, with unit Fréchet margins and exponent measure ν∗ (de Haan and Lin, 2001).”
The generalized Pareto process; with a view towards application and simulation (2012, background): “…ν is a homogeneous (of order -1) measure on C + ( S ) := { f ∈ C ( S ) : f ≥ 0 } and A any Borel subset of C + ( S ) verifying ν ( ∂A ) = 0 and inf { sup s ∈ S f ( s ) : f ∈ A } > 0 (de Haan and Lin (2001), cf. 1 /γ ( s ) + for all s ∈ S (with the notation de Haan and Ferreira (2006) Section 9.5).”
Spatial extremes: Models for the stationary case (2006, methodology): “MR1229882 [4] de Haan, L. and Lin, T. (2001).”