3 citations · 3 across the 2 of their papers we have counts for
2 papers
math.ST2019
Peak-over-Threshold Estimators for Spectral Tail Processes: Random vs Deterministic Thresholds
Holger Drees, Miran Knezevic
The extreme value dependence of regularly varying stationary time series can be described by the spectral tail process. Drees, Segers and Warchol [Extremes 18(3): 369--402, 2015] p…
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…