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math.PR2009
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…
math.ST2009★ 1 cited
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…
math.CA2009★ 1 cited
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…