Local polynomial maximum likelihood estimation for Pareto-type
...
Beirlant and. Goegebeur [3] derived a semiparametric method based on an exponential regression model for log-spacings of generalized residuals. ...
http://perso.telecom-paristech.fr/~moulines/enseignement/probast/TailIndexCovariate.pdf
-
беирлант й., й.теугелс, ю.гоегебеур, й.сегерс. статистицс оф
...
Beirlant J., J.Teugels, Yu.Goegebeur, J.Segers. Statistics of Extremes. ... which time-series models, regression and multivariate settings are appropriate. ...
http://www.eknigu.com/info/M_Mathematics/MV_Probability/MVsa_Statistics%20and%20applications/Beirlant%20J.,%20J.Teugels,%20Yu.Goegebeur,%20J.Segers.%20Statistics%20of%20Extremes..%20Theory%20and%20Applications%20(Wiley,2004)(ISBN%200471976474)(504s)_MVsa_.pdf
-
Beirlant J., J.Teugels, Yu.
Goegebeur, J.Segers. Статистика
...
Beirlant J., J.Teugels, Yu.Goegebeur, J.Segers. Statistics of Extremes. ...
http://www.eknigu.com/info/M_Mathematics/MV_Probability/MVsa_Statistics%20and%20applications/Beirlant%20J.,%20J.Teugels,%20Yu.Goegebeur,%20J.Segers.%20Statistics%20of%20Extremes..%20Theory%20and%20Applications%20(Wiley,2004)(ISBN%200471976474)(504s).pdf
-
Beirlant J., J.Teugels,
Yu.Goegebeur, J.Segers - Statistics of
...
Beirlant and Goegebeur (2003). Inference about the regression coefficients can be drawn using the profile log-likelihood ratio test statistic given by 2(log ...
ftp://210.45.114.81/math/merci/0314/math/Beirlant%20J.,%20J.Teugels,%20Yu.Goegebeur,%20J.Segers.%20Statistics%20of%20Extremes..%20Theory%20and%20Applications%20(Wiley,2004)(ISBN%200471976474)(504s).pdf
-
Book Reviews Beirlant, J., Y.
Goegebeur, J. Segers, J. Teugels
...
Beirlant, J., Y. Goegebeur, J. Segers, J. Teugels: Sta- tistics of Extremes: Theory and ... plications of regression analysis in distribution estima- ...
http://www.schweizerbart.de/resources/downloads/paper_previews/55824.pdf
- SIMULTANEOUS
TAIL INDEX ESTIMATION
Jan Beirlant and Yuri Goegebeur. Of course, regression models with dummy explanatory variables describing the groups, can be used in combination with ...
http://www.ine.pt/revstat/pdf/rs040102.pdf
- LINKING
PARETO-TAIL KERNEL GOODNESS-OF- FIT STATISTICS WITH TAIL
...
Beirlant, J. and Goegebeur, Y. (2003). Regression with response distribu ...
http://www.ine.pt/revstat/pdf/rs080104.pdf
- A
goodness-of-fit statistic for Pareto-type behaviour
[3] J. Beirlant, Y. Goegebeur, Regression with response distributions of Pareto- type, Computational Statist. Data Anal. 42. (2003) 595–619. ...
http://academic.sun.ac.za/statistics/beirlant2006.pdf
- Kernel
goodness-of-fit statistics for Pareto-type behavior
Regression with response distributions of. Pareto-type. Computational ...
http://academic.sun.ac.za/statistics/scandjournal.pdf
- NONPARAMETRIC
ESTIMATION OF EXTREME CONDITIONAL QUANTILES
regression models. Statistica Sinica 13, 853–880. Beirlant, J., Dierckx, G ...
http://academic.sun.ac.za/statistics/Beirlant2004.pdf
-
[inria-00578479, v1] Estimating the conditional tail index by
...
Mar 21, 2011 ... Beirlant, J., Goegebeur, Y. 2003. Regression with response distributions of Pareto-type, Com- putational Statistics and Data Analysis, 42, ...
http://hal.archives-ouvertes.fr/docs/00/57/84/79/PDF/kernelgam.pdf
-
[hal-00371757, v3] Conditional extremes from heavy-tailed
...
Dec 7, 2009 ... are extended in (Beirlant and Goegebeur 2004) where local ...
http://hal.archives-ouvertes.fr/docs/00/43/92/46/PDF/knncovar3.pdf
- Jean
Diebolt(1), Laurent Gardes(2), Stéphane Girard(3,∗) and
...
[4] Beirlant, J., Dierckx, G., Goegebeur, Y., Matthys, G., (1999), Tail ...
http://hal.archives-ouvertes.fr/docs/00/03/64/67/PDF/girard.pdf
- Tail Index
Estimation and an Exponential Regression Model
likelihood estimators based on a regression model for upper order statistics. ...... Assoc. 73, 812±815, (1978). 200. BEIRLANT, DIERCKX, GOEGEBEUR, AND MATTHYS.
http://www.springerlink.com/index/X1J7JW8258356102.pdf
- Statistical
Analysis of Catastrophic Events
an exponential regression model. Extremes, 2: 177–200, 1999. 2. J. Beirlant ...
http://www.springerlink.com/index/mq8481w7844p6m6v.pdf
- Bias-reduced
estimators of the Weibull tail-coefficient
Mar 3, 2007 ... Beirlant J, Dierckx G, Goegebeur Y, Matthys G (1999) Tail ...
http://www.springerlink.com/index/u00t26q80h6x3km5.pdf
-
Beirlant J., J.Teugels, Yu.
Goegebeur, J.Segers. Статистика
...
Beirlant J., J.Teugels, Yu.Goegebeur, J.Segers. Statistics of Extremes. .... which time-series models, regression and multivariate settings are appropriate. ...
http://eknigu.org/info/M_Mathematics/MV_Probability/MVsa_Statistics%20and%20applications/Beirlant%20J.,%20J.Teugels,%20Yu.Goegebeur,%20J.Segers.%20Statistics%20of%20Extremes..%20Theory%20and%20Applications%20(Wiley,2004)(ISBN%200471976474)(504s).pdf
- RANK−1/2: A
SIMPLE WAY TO IMPROVE THE OLS ESTIMATION OF TAIL
...
A popular way to estimate a Pareto exponent is to run an OLS regression: ..... and de Vries (2001); Beirlant, Goegebeur, Teugels and Segers (2004) and the ...
http://pages.stern.nyu.edu/~xgabaix/papers/rank.pdf
-
Managing Uncertainty: Financial, Actuarial and Statistical
Modeling
Beirlant, J. and Goegebeur, Y., 2003, Regression with Response Distributions of. Pareto-Type, Computational Statistics and Data Analysis, 42, 595–619. ...
https://lirias.kuleuven.be/bitstream/123456789/120754/1/TEM_1_05_Beirlant.pdf
- Risk
Classification In Non-Life Insurance
[7] Beirlant, J., Goegebeur, Y., Verlaak, R. & Vynckier, P. (1998). Burr ...
http://www.econ.kuleuven.be/insurance/pdfs/risk0367.pdf
- A
Robust Estimator of the Tail Index based on an Exponential
...
[1] J. Beirlant, G. Dierckx, Y. Goegebeur and G. Matthys (1999), Tail index ...
http://wis.kuleuven.be/stat/robust/Papers/tailindexICORS2003.pdf
- SECTION OF
STATISTICS ASYMPTOCICAL PROPERTIES CONCERING A NEW
...
estimation and an exponential regression model. Extremes 2, 177-200. [4 ...
http://wis.kuleuven.be/stat/Papers/TR0701.pdf
-
WHY EXTREME VALUE THEORY?
the city of Albuquerque shown in Figure 1.1 (taken from Beirlant et al. ..... Here ˆλ can be obtained from the least-squares regression on the exponential QQ- ...... detailed description of these data, we refer to Goegebeur et al. ...
http://media.wiley.com/product_data/excerpt/74/04719764/0471976474.pdf
- Estimation
in Nonparametric Regression with Nonregular
Errors
In Section 2 we apply this result to the nonparametric regression model Y = ..... Klüppelberg and Mikosch (1997) and Beirlant, Goegebeur, Segers and Teugels ...
http://www.stat.tamu.edu/~uschi/research/m-akahira.pdf
- Disentangling
crashes from tail events
McNeil (1999), Coles (2001), and Beirlant, Goegebeur, Segers and Teugels ...... servations times the R2 from the test regression of the squared residuals, ...
http://www.mfa2011.com/papers/Sofiane_Aboura_blind.pdf
-
Untitled
Feb 11, 2009 ... tion and exponential regression model,” Extremes, 2, 177–200. Beirlant, J. and Goegebeur, Y. (2003), “Regression with response distributions ...
http://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1340758_code254274.pdf?abstractid=1340758
-
Nonparametric estimation of conditional quantiles
Jan Beirlant †. Yuri Goegebeur ‡. July 20, 2005. Abstract. Nonextreme ...
http://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID870264_code444941.pdf?abstractid=870264&mirid=1
-
Report Reference
Feb 17, 2011 ... Beirlant, J., G. Dierckx, Y. Goegebeur, and G. Matthys ...
http://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1763239_code331696.pdf?abstractid=1763239&mirid=1
- A kernel
goodness-of-fit statistic for Pareto-type behavior
Exponential regression model for log-spacings of successive order statistics ..... (Goegebeur, Beirlant and de Wet, 2006) Consider X1,...,Xn i.i.d. ...
http://www.stat.sdu.dk/matstat/yuri/slidesnordstat.pdf
- Kernel
goodness-of-fit statistics for Pareto-type behavior and
...
quantile plots, and regression diagnostics. Journal of the American ...
http://www.stat.sdu.dk/matstat/yuri/iwap2008.pdf
- Goodness-of-fit
testing and Pareto-tail estimation
Exponential regression model for log-spacings of successive order statistics ...
http://www.stat.sdu.dk/matstat/yuri/slidesstats.pdf
- Extremes of
two-step regression quantiles References
Two-step regression quantile, Tail quantile function, Stochastical functional,. Extreme value index. References. Beirlant, J., Goegebeur, Y., Segers, J., ...
http://www.linstat2010.ipt.pt/download/Dienstbier.pdf
-
Subject Index
Beirlant-Vandewalle estimator, 353. Benktander II distribution, 72 ... of Extremes: Theory and Applications J. Beirlant, Y. Goegebeur, J. Segers, and J. Teugels ... in regression, 211–218 in time series, 376 in univariate case, 132– 140 ...
http://media.johnwiley.com.au/product_data/excerpt/74/04719764/0471976474-2.pdf
-
Harvard Institute of Economic Research
A popular way to estimate a Pareto exponent is to run an OLS regression: ..... and de Vries (2001); Beirlant, Goegebeur, Teugels and Segers (2004) and the ...
http://www.economics.harvard.edu/pub/hier/2006/HIER2106.pdf
-
RANK−1/2: A SIMPLE WAY TO IMPROVE THE OLS ESTIMATION OF TAIL
...
wants to use an OLS regression, one should use the Rank −1/2, and run log ...
http://www.economics.harvard.edu/files/faculty/32_LogLogRevised2.pdf
-
A Robust Estimator for the Tail Index of Pareto-type
Distributions
Beirlant, J., Dierckx, G., Goegebeur, Y., Matthys, G., 1999. Tail index esti- mation and an exponential regression model. Extremes 2 (2), 177–200. ...
http://www.stoch.uni-bayreuth.de/de/CHRISTMANN/Christmann_files/VandewalleBeirlantChristmannHubert2007.pdf
- Modelling
losses using an exponential-inverse Gaussian distribution
Insurance: Mathematics and Economics 10, 289–302. Beirlant, J., Goegebeur, Y., Verlaak, R., Vynckier, P., 1998. Burr regression and portfolio segmentation. ...
http://stat-athens.aueb.gr/~frangos/publications/pub_2004.pdf
-
Copula-based measures of dependence structure in assets returns
[20] J. Beirlant, G. Dierckx, Y. Goegebeur, G. Matthys, Tail index estimation and an exponential regression model, Extremes 2 (1999) 177–200. ...
http://200.89.70.78:8080/jspui/bitstream/2250/7107/1/Fernandez_Viviana.pdf
- A
simple modification of the Hill estimator with applications to
...
Beirlant, J., Dierckx, G., Goegebeur, Y. and Matthys, G. (1999) Tail index estimation and an exponential regression model. Extremes. 2, 177-200. Beirlant ...
http://www.utstat.utoronto.ca/keith/papers/robusthill.pdf
-
Uniform in bandwidth consistency of kernel
regression estimators ...
We start by considering a kernel estimator ϕn,h(t) for the regression ..... Beirlant, J., Goegebeur, Y., Segers, J. and Teugels, J. (2004) : Statistics of ...
http://homepages.vub.ac.be/~jdony/Research_files/abstract-paperiwap.pdf
- A
Review of Univariate Tail Estimation
Beirlant J., Dierckx G., Goegebeur Y. and Matthys G. (1999) Tail index estimation and an exponential regression model, Extremes, 2, 177–200. Beirlant J . ...
http://www.sis-statistica.it/files/pdf/atti/RSMi0602p223-230.pdf
- A Bivariate Model
of Claim Frequencies and Severities
Beirlant, J., Goegebeur, Y., Verlaak, R. & Vynckier, P. (1998) Burr regression and portfolio segmentation, Insur- ance: Mathematics and Economics, 23, pp. ...
http://www.informaworld.com/index/755225725.pdf
- Estimation in
Nonparametric Regression with Non-Regular
Errors
the regression function that converges at a faster rate than the Nadaraya ...
http://www.informaworld.com/index/921753113.pdf
- hal-00117001,
version 2 - 28 Jul 2007
Beirlant, J., Dierckx, G., Goegebeur, Y., Matthys, G., 1999. Tail index esti- mation and an exponential regression model. Extremes 2 (2), 177–200. ...
http://hal.inria.fr/docs/00/16/58/34/PDF/afgsrev.pdf
- [hal-00117001,
v3] Estimation of bivariate excess probabilities
...
Apr 24, 2008 ... Beirlant, J., Dierckx, G., Goegebeur, Y., Matthys, G., 1999 ...
http://hal.inria.fr/docs/00/27/56/89/PDF/afgsrev.pdf
- Gaussian
Tests of "Extremal White Noise" for Dependent
...
Mikosch (2003), Beirlant, Goegebeur, Segers, Teugels, and de Waal (2004) and ... quantile regression" method of Drees (2003) and Chernozhukov (2005) has ...
http://casgroup.fiu.edu/pages/docs/2247/1275232517_05-13.pdf
- Dispersion Models
for Extremes
4. regression parameter vector,. 5. 2 dispersion parameter. Examples: .... Beirlant, J., Goegebeur, Y., Segers, J. and Teugels, J. (2004 ). ...
http://www.ul.ie/statgen/Programme/Ben54sl.pdf
-
Nonparametric Estimation of Extreme Conditional Quantiles
[2] Beirlant, J., Dierckx, G., Goegebeur, Y. and Matthys, G., 1999. Tail index estimation and an exponential regression model. Extremes, 2, 177-200. ...
http://pascal.iseg.utl.pt/~cemapre/ime2002/main_page/papers/YuriGoegebeur.pdf
-
IME 2002
Session 5-A (Auditorium I). Chairperson: Jan Beirlant. Goegebeur, Yuri ...
http://pascal.iseg.utl.pt/~cemapre/ime2002/main_page/sessions/programme.pdf
- Programme of
the International Workshop:
lm Artiles-Martinez (EURANDOM, The Netherlands) and by Levit. Optimal design for minimax regression. Beirlant, J., Goegebeur, Y. (KUL, Belgium) and Planchon ...
http://www.stat.ucl.ac.be/IAP/download/report2.pdf
1 2