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• W3100865889 abstract "In classical extreme value theory probabilities of extreme events are estimated assuming all the components of a random vector to be in a domain of attraction of an extreme value distribution. In contrast, the conditional extreme value model assumes a domain of attraction condition on a sub-collection of the components of a multivariate random vector. This model has been studied in Heffernan and Tawn (JRSS B 66(3):497–546, 2004), Heffernan and Resnick (Ann Appl Probab 17(2):537–571, 2007), and Das and Resnick (2009). In this paper we propose three statistics which act as tools to detect this model in a bivariate set-up. In addition, the proposed statistics also help to distinguish between two forms of the limit measure that is obtained in the model." @default.
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• W3100865889 date "2009-12-10" @default.
• W3100865889 modified "2023-10-17" @default.
• W3100865889 title "Detecting a conditional extreme value model" @default.
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• W3100865889 doi "https://doi.org/10.1007/s10687-009-0097-3" @default.
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