Time-varying models for extreme values

Statistical Inference Using Extreme Order Statistics

James Pickands · The Annals of Statistics · 1975 · 3.6K citations

Natural Sciences, Mathematics, Probability Theory +12

Remarks on a Multivariate Transformation

Murray Rosenblatt · The Annals of Mathematical Statistics · 1952 · 2.9K citations · Full text

Natural Sciences, Biostatistics, Measurement Invariance +4

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

Sang‐Joon Kim, Siddhartha Chib · The Review of Economic Studies · 1998 · 2.3K citations · Full text

Business, Business Economics, Economics +17

On Gibbs sampling for state space models

Chris Carter, Robert Kohn · Biometrika · 1994 · 2K citations

Computing, Data Science, Bayesian Data Analysis +14

Models for Exceedances Over High Thresholds

A. C. Davison, Richard L. Smith · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1990 · 1.7K citations

Engineering, Hydrology, Nuclear Engineering +14