Additive Outlier Detection Via Extreme-Value Theory

Journal of Time Series Analysis ◽

10.1111/j.1467-9892.2006.00483.x ◽

2006 ◽

Vol 27 (5) ◽

pp. 685-701 ◽

Author(s):

Peter Burridge ◽

A. M. Robert Taylor

Keyword(s):

Outlier Detection ◽

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Additive Outlier

Download Full-text

Confidence Band and Extreme Value Theory Based Outlier Detection for Semi-Supervised Learning of Incremental Polynomial Classifier

International Journal of Simulation Systems Science & Technology ◽

10.5013/ijssst.a.17.34.15 ◽

2017 ◽

Author(s):

Husam Al-Behadili ◽

Arne Grumpe ◽

Christian Wöhler

Keyword(s):

Supervised Learning ◽

Outlier Detection ◽

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Confidence Band ◽

Polynomial Classifier

Download Full-text

Extreme Value Theory and Archimedean Copulas

Scandinavian Actuarial Journal ◽

10.1080/03461230110106534 ◽

2004 ◽

Vol 2004 (3) ◽

pp. 211-228 ◽

Author(s):

Mario V. Wüthrich

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Archimedean Copulas

Download Full-text

Extreme Value Theory and Dependence.

10.21236/ada159138 ◽

1985 ◽

Author(s):

M. R. Leadbetter

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Download Full-text

Extreme Value Theory for Suprema of Random Variables with Regularly Varying Tail Probabilities.

10.21236/ada179126 ◽

1986 ◽

Author(s):

Tailen Hsing

Keyword(s):

Extreme Value Theory ◽

Random Variables ◽

Value Theory ◽

Extreme Value ◽

Tail Probabilities ◽

Regularly Varying

Download Full-text

Extreme value theory and high quantile convergence

The Journal of Operational Risk ◽

10.21314/jop.2006.009 ◽

2006 ◽

Vol 1 (2) ◽

pp. 51-57 ◽

Author(s):

Mikhail Makarov

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Download Full-text

Efficient filtering of financial time series and extreme value theory

The Journal of Risk ◽

10.21314/jor.2005.107 ◽

2005 ◽

Vol 7 (2) ◽

pp. 63-84 ◽

Author(s):

Kaj Nyström ◽

Jimmy Skoglund

Keyword(s):

Time Series ◽

Extreme Value Theory ◽

Financial Time Series ◽

Value Theory ◽

Extreme Value ◽

Download Full-text

Modeling extreme returns and asymmetric dependence structures of hedge fund strategies using extreme value theory and copula theory

The Journal of Risk ◽

10.21314/jor.2010.220 ◽

2010 ◽

Vol 13 (2) ◽

pp. 23-55 ◽

Author(s):

Jan Viebig ◽

Thorsten Poddig

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Copula Theory ◽

Asymmetric Dependence ◽

Extreme Returns ◽

Dependence Structures

Download Full-text

Specification test for threshold estimation in extreme value theory

The Journal of Operational Risk ◽

10.21314/jop.2014.145 ◽

2014 ◽

Vol 9 (2) ◽

pp. 23-37

Author(s):

Lourenco Couto Miranda

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Threshold Estimation ◽

Specification Test

Download Full-text

Estimating the Value-at-Risk: A Comparative Study of the Extreme Value Theory and Transformed Kernel Density Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2009130 ◽

2012 ◽

Author(s):

Yi Ling Michelle-Joy Low

Keyword(s):

At Risk ◽

Comparative Study ◽

Extreme Value Theory ◽

Value At Risk ◽

Kernel Density ◽

Value Theory ◽

Download Full-text

Asymmetric Exceedance-Time Model: An Optimal Threshold Approach Based on Extreme Value Theory

SSRN Electronic Journal ◽

10.2139/ssrn.3016145 ◽

2017 ◽

Author(s):

Konstantinos Gkillas ◽

Frannois M. Longin ◽

Athanasios Tsagkanos

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Optimal Threshold ◽

Threshold Approach

Download Full-text