21.7k citations
- Centre National de la Recherche ScientifiqueFR13 papers
- European Organization for Nuclear ResearchCH10 papers
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- Stellenbosch UniversityZA8 papers
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- Imperial College LondonGB6 papers
- Institut national de recherche en sciences et technologies du numériqueFR6 papers
- Lomonosov Moscow State UniversityRU6 papers
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- Columbia UniversityUS5 papers
12 papers · 1 filter
Nonparametric estimation of an extreme-value copula in arbitrary dimensions
Gordon Gudendorf, Johan Segers
Inference on an extreme-value copula usually proceeds via its Pickands dependence function, which is a convex function on the unit simplex satisfying certain inequality constraints…
Nonparametric "regression" when errors are positioned at end-points
Peter Hall, Ingrid Van Keilegom
Increasing practical interest has been shown in regression problems where the errors, or disturbances, are centred in a way that reflects particular characteristics of the mechanis…
Extending the scope of empirical likelihood
Nils Lid Hjort, Ian W. McKeague, Ingrid Van Keilegom
This article extends the scope of empirical likelihood methodology in three directions: to allow for plug-in estimates of nuisance parameters in estimating equations, slower than $…
Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
Jan Beirlant, Elisabeth Joossens, Johan Segers
Modelling excesses over a high threshold using the Pareto or generalized Pareto distribution (PD/GPD) is the most popular approach in extreme value statistics. This method typicall…
A Sliding Blocks Estimator for the Extremal Index
Christian Y. Robert, Johan Segers, Christopher A. T. Ferro
In extreme value statistics for stationary sequences, blocks estimators are usually constructed by using disjoint blocks because exceedances over high thresholds of different block…
Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribution
John H. J. Einmahl, Johan Segers
Consider a random sample from a bivariate distribution function in the max-domain of attraction of an extreme-value distribution function . This is characterized by two…