Statistics of Extremes, with Applications in Environment, Insurance, and Finance

By R. Smith. 2003

199 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/9fe6a18337ec5ee2a520e73795e2db1ac46f343f

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In Environmental Engineering

Citations in the corpus

Quotient correlation: A sample based alternative to Pearson’s correlation (2008, methodology): “For parametric method details, we refer to Smith (2003), Zhang (2005) and Zhang and Smith (2004b). The quotient correlation qn measures the nonlinear dependence since the quotient itself is a nonlinear bivariate function.”
Bayesian mixture modeling for spatial Poisson process intensities, with applications to extreme value analysis (2007, unknown): “Smith (1989; 2003) uses the fact that, under suitable normalization, the process of exceedances behaves as a bivariate NHPP. Asymptotic theory (as N → ∞) is used to justify that the intensity of this NHPP process is given by λ(t, s) = ψ−1 ( 1 + ξψ−1(s− µ) ) −ξ−1−1 + , over the domain (0, T ]×…”
On the estimation and application of max-stable processes (2010, methodology): “Standard diagnostics such as those in Smith and Shively (1995), Tsay (1999) and Smith (2003) show a poor fit to the extreme value model based on the original data, but a much better fit using the standardized data formed from residuals of the GARCH(1,1) process.”
Variograms for spatial max-stable random fields (2006, background): “In this work, we assume that {Z(x)} is a max-stable process [Res87, Smi04 ].”
Models for Dependent Extremes Using Stable Mixtures (2007, background): “However, with the exception of Smith (2004) and Heffernan & Tawn (2004), few applications involving more than two or three dimensions have been reported.”
The Modelling of Extreme Events (2005, background): “3.40 The extension of multivariate to infinite dimensions leads to maxstable processes (see Smith, 2003), which are beyond the scope of this paper.”