Extreme Value Theory and Statistics of Univariate Extremes: A Review

Statistical issues arising in modelling univariate extremes of a random sample have been successfully used in the most diverse fields, such as biometrics, finance, insurance and risk theory. Statistics of univariate extremes (SUE), the subject to be dealt with in this review paper, has recently faced a huge development, partially because rare events can have catastrophic consequences for human activities, through their impact on the natural and constructed environments. In the last decades, there has been a shift from the area of parametric SUE, based on probabilistic asymptotic results in extreme value theory, towards semi‐parametric approaches. After a brief reference to Gumbel's block methodology and more recent improvements in the parametric framework, we present an overview of the developments on the estimation of parameters of extreme events and on the testing of extreme value conditions under a semi‐parametric framework. We further discuss a few challenging topics in the area of SUE. © 2014 The Authors. International Statistical Review © 2014 International Statistical Institute     

Asymptotic comparison at optimal levels of reduced‐bias extreme value index estimators

In this article we are interested in the asymptotic comparison, at optimal levels, of a set of semi‐parametric reduced‐bias extreme value (EV) index estimators, valid for a wide class of heavy‐tailed models, underlying the available data. Again, as in the classical case, there is not any estimator that can always dominate the alternatives, but interesting clear‐cut patterns are found. Consequently, and in practice, a suitable choice of a set of EV index estimators will jointly enable us to better estimate the EV index γ, the primary parameter of extreme events.     

Reduced-bias tail index estimation and the jackknife methodology

In the context of regularly varying tails, we first analyze a generalization of the classical Hill estimator of a positive tail index, with members that are not asymptotically more efficient than the original one. This has led us to propose alternative classical tail index estimators, that may perform asymptotically better than the Hill estimator. As the improvement is not really significant, we also propose generalized jackknife estimators based on any two members of these two classes. These generalized jackknife estimators are compared with the Hill estimator and other reduced-bias estimators available in the literature, asymptotically, and for finite samples, through the use of Monte Carlo simulation. The finite-sample behaviour of the new reduced-bias estimators is also illustrated through a practical example in the field of finance.     

Advertising targeting young children: an overview of 10 years of research (2006–2016)

A review of 138 published academic articles was conducted to provide an up-to-date and comprehensive overview of academic research of the past decade (2006–2016) on advertising directed to young children up to 12 years old. The research overview resulted in a conceptual framework comprising five research domains that were found to be most prominent. For each of these five domains, an overview, discussion and future research agenda is presented. We conclude that much of the research of the past decade included food advertising and its effects. Progress has been made in the domain of children's advertising processing, specifically with regard to advertising literacy. Despite the growing importance of embedded advertising, many of the new ad formats remain neglected (e.g. native and mobile advertising). Additionally, only a few studies investigated which executional factors (e.g. humour) are effective in advertisements to target children and social influences are also less often considered.     

Building a valuable event log for process mining: an experimental exploration of a guided process

The digitalisation of business processes has led to the new opportunity of investigating process executions by using process mining. The complex preparation step of building an event log is often perceived as a technical task, although business considerations should be involved. In this paper, we examine via an experimental study whether and how a guiding procedure supports the performance of this task. Our findings provide insights into the parts played by business and technical considerations in this task and suggest that procedural guidance positively impacts the process of building an event log and its outcome.     

The importance of education for the reallocation of labor: Evidence from Swedish linked employer–employee data 1986–2002

Using Swedish employer–employee data we study job and worker flows for different educational groups, as well as the cyclicality of such flows. Due to the long period studied, from 1986 to 2002, and the widely fluctuating business cycle during this period, we have a unique opportunity to analyze the cyclical pattern of job and worker flows. We especially look at the big downturn in the Swedish economy in the beginning of the 1990s. When workers are treated as homogenous, we find job reallocation to be countercyclical. However, when we estimate correlations for different educational groups, we find job reallocation to be countercyclical for the lowest educated, and acyclical for higher educated workers. Contrary to job flows, we find worker flows to be acyclical, with a strong procyclical pattern in hiring rates, and an acyclical pattern in separation rates. When decomposing worker flows into educational groups, the acyclical pattern is prevalent for all groups, except for the highest educated. For the highest educated, worker reallocation is strongly pro-cyclical due to both more hirings and separations during up-turns.     

Protectionist Reputations and the Threat of Voluntary Export Restraint*

Voluntary export restraints are often administered in such a way that each firm's post-VER output allocation is positively related to its output under free trade. When this is true, a credible threat of a future VER will induce foreign firms to dump in the current period, decreasing the domestic price (the Yano effect), and possibly increasing welfare. We show that if an importing government's preferences are private information and if the government makes a series of VER decisions, there may exist an incentive for a welfare-maximizing government that normally prefers free trade to maintain a protectionist reputation by imposing a VER.     

The case for process mining in auditing: Sources of value added and areas of application

Process mining aims to extract knowledge from the event logs maintained by a company's ERP system. The objective of this paper is to make the case for why internal and external auditors should leverage the capabilities process mining offers to rethink how auditing is carried out. We do so by identifying the sources of value added of process mining when applied to auditing, which are as follows: 1. process mining analyzes the entire population of data and not just a sample; 2. critically that data consists of meta-data—data entered independently of the actions of auditee—and not just data entered by the auditee; 3. process mining allows the auditor to have a more effective way of implementing the audit risk model by providing effective ways of conducting the required walkthroughs of processes and conducting analytic procedures; 4. process mining allows the auditor to conduct analyses not possible with existing audit tools, such as discovering the ways in which business processes are actually being carried out in practice, and to identify social relationships between individuals. It is our argument that these sources of value have not been fully understood in the process mining literature, which has focused on developing it as a statistical methodology rather than on applying it to audit practice. Only when auditors and audit researchers appreciate what is new and unique about process mining will its acceptance in auditing practice become feasible.     

Analysing the lobby-effect of port competitiveness’ determinants: a stochastic frontier approach

Building upon a formerly performed study on port competitiveness, this article discusses the use of a stochastic frontier model as an interesting novel use to test, identify and correct respondents’ bias by applying it to competitiveness analysis based on perceptions of senior executives. Measuring the importance of competition determinants of seaports, conventionally analyzed using a SWOT-analysis based on (transport) infrastructure as a prime requirement for port activity growth, is an important issue to port management. However, it seems that the “institutional” environment of a seaport is also critical in obtaining a competitive advantage. In Haezendonck et al. (2000 and 2001) those port specific advantages and disadvantages were identified using factor analysis and L1-regression on the perceptions of 75 respondents, all senior executives and experts, through a survey. As regards the results of this study, critiques were formulated on the use of perceptions, often biased due to the political lobbying potential of the results. Since respondents often see independent studies as an opportunity to obtain more or early government subsidies, attract new investment projects or at least highlight the attention on their specific problems and demands, they were prone to underestimating the positive impact of the key success factors of the studied seaport compared to its main rivals, in this case major seaports in the so-called Hamburg–Le Havre competitive range. The purpose of this article is to test the assumption that respondents significantly underestimate the positive impact of port specific advantages and to see which of the respondent subgroups within the 75 respondents sample are more responsible than others for this underestimation. In addition, we argue and demonstrate that the use of a stochastic frontier method is appropriate for this matter. Each of 25 considered competition determinants of the original study is decomposed into a noise and “efficiency” term, based on the Bayesian stochastic frontier model (BSFM). In this article, we find evidence that BSFM could be used to test the “lobby-effect” or underestimation of the real effect of determinants, that terminal operators as a subgroup of respondents, are more likely to underestimate the key success factors than the subgroup of port experts and that those determinants that are directly related to government action show more underestimation than competitiveness determinants that result from private investments.     

The Development and Testing of a Child-inspired Advertising Disclosure to Alert Children to Digital and Embedded Advertising

Via three studies, this article aims to develop and test an advertising disclosure which is understandable for children (ages six to 12 years old) and which can alert them to different types of advertising in multiple media formats. First, cocreation workshops with 24 children (ages eight to 11 years old) were held to determine a selection of disclosure designs based on insights from the target group. Second, two eye-tracking studies among 32 children (ages six to 12 years old) were conducted to test which of these disclosure designs attracted the most attention when the disclosures were integrated into a media context. These studies led to the selection of the final advertising disclosure: a black rectangular graphic with the word Reclame! (i.e., Dutch for “Advertising!”) in yellow letters. Finally, a two-by-two, between-subjects experimental study (disclosure design: existing versus child-inspired advertising disclosure; advertising format: brand placement versus online banner advertising) with 157 children (ages 10 and 11 years old) was performed to test the effectiveness of the child-inspired disclosure by comparing it with existing ones. This study not only showed that children recognized, understood, and liked the child-inspired disclosure better than the existing ones, but they were also better able to recognize advertising after exposure to this child-inspired advertising disclosure.