270 citations · 278 across the 5 of their papers we have counts for
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stat.ME2014★ 5 cited
Nonparametric estimation of extremal dependence
Anna Kiriliouk, Johan Segers, Michal Warchol
There is an increasing interest to understand the dependence structure of a random vector not only in the center of its distribution but also in the tails. Extreme-value theory tac…
stat.ME2014★ 3 cited
Statistics for Tail Processes of Markov Chains
Holger Drees, Johan Segers, Michał Warchoł
At high levels, the asymptotic distribution of a stationary, regularly varying Markov chain is conveniently given by its tail process. The latter takes the form of a geometric rand…