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Extreme Value Inference for General Heterogeneous Data

Author

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  • Einmahl, John

    (Tilburg University, Center For Economic Research)

  • He, Y.

    (Tilburg University, Center For Economic Research)

Abstract

No abstract is available for this item.

Suggested Citation

  • Einmahl, John & He, Y., 2022. "Extreme Value Inference for General Heterogeneous Data," Discussion Paper 2022-017, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:fd8dd91c-086f-40e6-ac29-3785bd0b56cd
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    File URL: https://repository.tilburguniversity.edu/bitstreams/36ef7188-1132-47f1-80d6-ca0bb93312e8/download
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    References listed on IDEAS

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    1. John H. J. Einmahl & Yi He, 2022. "Extreme Value Estimation for Heterogeneous Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 255-269, December.
    2. Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
    3. Laurens de Haan & Chen Zhou, 2021. "Trends in Extreme Value Indices," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 116(535), pages 1265-1279, July.
    4. Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2003. "A theory of power-law distributions in financial market fluctuations," Nature, Nature, vol. 423(6937), pages 267-270, May.
    5. John H. J. Einmahl & Laurens Haan & Chen Zhou, 2016. "Statistics of heteroscedastic extremes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(1), pages 31-51, January.
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    Cited by:

    1. Cirkovic, Daniel & Wang, Tiandong & Cline, Daren B.H., 2025. "Emergence of multivariate extremes in multilayer inhomogeneous random graphs," Stochastic Processes and their Applications, Elsevier, vol. 190(C).
    2. Giovanni Marin & Aung Tun Oo, 2025. "Sectoral exposure to heat: heterogeneous impacts of extreme heat on workplace accidents in Italy," SEEDS Working Papers 1325, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised 2025.

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