1 citations · 1 across the 1 of their papers we have counts for
4 papers · 1 filter
Estimating probabilities of multivariate failure sets based on pairwise tail dependence coefficients
Anna Kiriliouk, Chen Zhou
Estimating probabilities of extreme events involving multiple risk factors is a critical challenge in fields such as finance and climate science. This paper proposes a parametric a…
A sub-asymptotic model for bivariate threshold exceedances
Mirco Lescart, Anna Kiriliouk, Philippe Naveau
Extreme value theory offers a statistical framework for quantifying the risk of rare events, with the generalized Pareto (GP) distribution providing the canonical limit model for u…
A penalized least squares estimator for extreme-value mixture models
Anas Mourahib, Anna Kiriliouk, Johan Segers
Estimating the parameters of max-stable parametric models poses significant challenges, particularly when some parameters lie on the boundary of the parameter space. This situation…
X-Vine Models for Multivariate Extremes
Anna Kiriliouk, Jeongjin Lee, Johan Segers
Regular vine sequences permit the organisation of variables in a random vector along a sequence of trees. Regular vine models have become greatly popular in dependence modelling as…