1 citations · 2 across the 5 of their papers we have counts for
5 papers
Tails of multivariate Archimedean copulas
Arthur Charpentier, Johan Segers
A complete and user-friendly directory of tails of Archimedean copulas is presented which can be used in the selection and construction of appropriate models with desired propertie…
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…
Generalised regular variation of arbitrary order
Edward Omey, Johan Segers
Let be a measurable, real function defined in a neighbourhood of infinity. The function is said to be of generalised regular variation if there exist functions $h \not\equi…
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…
Tails of random sums of a heavy-tailed number of light-tailed terms
Christian Y. Robert, Johan Segers
The tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of…