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math.ST2019
Consistency of Bayesian Inference for Multivariate Max-Stable Distributions
Simone A. Padoan, Stefano Rizzelli
Predicting extreme events is important in many applications in risk analysis. The extreme-value theory suggests modelling extremes by max-stable distributions. The Bayesian approac…
math.PR2019★ 3 cited
Strong Convergence of Multivariate Maxima
Michael Falk, Simone A. Padoan, Stefano Rizzelli
It is well known and readily seen that the maximum of independent and uniformly on distributed random variables, suitably standardised, converges in total variation dis…