Selecting the optimal sample fraction in univariate extreme value estimation H Drees, E Kaufmann
Stochastic Processes and their applications 75 (2), 149-172, 1998
418 1998 How to make a Hill plot H Drees, S Resnick, L de Haan
The Annals of Statistics 28 (1), 254-274, 2000
375 2000 Extreme quantile estimation for dependent data, with applications to finance H Drees
Bernoulli 9 (4), 617-657, 2003
233 2003 Bivariate tail estimation: dependence in asymptotic independence G Draisma, H Drees, A Ferreira, L De Haan
Bernoulli 10 (2), 251-280, 2004
214 2004 On maximum likelihood estimation of the extreme value index H Drees, A Ferreira, L De Haan
Annals of Applied Probability, 1179-1201, 2004
207 2004 On smooth statistical tail functionals H Drees
Scandinavian Journal of Statistics 25 (1), 187-210, 1998
203 1998 Best attainable rates of convergence for estimators of the stable tail dependence function H Drees, X Huang
Journal of Multivariate Analysis 64 (1), 25-46, 1998
166 1998 Weighted approximations of tail processes for H Drees
The Annals of Applied Probability 10 (4), 1274-1301, 2000
138 2000 Refined Pickands estimators of the extreme value index H Drees
The Annals of Statistics, 2059-2080, 1995
138 1995 Approximations to the tail empirical distribution function with application to testing extreme value conditions H Drees, L de Haan, D Li
Journal of Statistical Planning and Inference 136 (10), 3498-3538, 2006
113 2006 A general class of estimators of the extreme value index H Drees
Journal of Statistical Planning and Inference 66 (1), 95-112, 1998
113 1998 Limit theorems for empirical processes of cluster functionals H Drees, H Rootzén
98 2010 Optimal rates of convergence for estimates of the extreme value index H Drees
Annals of Statistics, 434-448, 1998
76 1998 Tail empirical processes under mixing conditions H Drees
Empirical process techniques for dependent data, 325-342, 2002
61 2002 Principal component analysis for multivariate extremes H Drees, A Sabourin
50 2021 Refined pickands estimators wtth bias correction H Drees
Communications in Statistics-Theory and Methods 25 (4), 837-851, 1996
47 1996 Statistics for tail processes of Markov chains H Drees, J Segers, M Warchoł
Extremes 18, 369-402, 2015
40 2015 On a minimum distance procedure for threshold selection in tail analysis H Drees, A Janßen, SI Resnick, T Wang
SIAM Journal on Mathematics of Data Science 2 (1), 75-102, 2020
39 2020 A simple non-stationary model for stock returns H Drees, C Starica
36 2002 A stochastic volatility model with flexible extremal dependence structure A Janssen, H Drees
32 2016 
Sidney ResnickCornell University School of ORIEEmail verificata su cornell.edu