52 citations · 225 across the 9 of their papers we have counts for
5 papers · 1 filter
Clustered Archimax Copulas
Simon Chatelain, Samuel Perreault, Johanna G. Nešlehová +1
When modeling multivariate phenomena, properly capturing the joint extremal behavior is often one of the many concerns. Archimax copulas appear as successful candidates in case of…
Bias correction in multivariate extremes
Anne-Laure Fougères, Laurens de Haan, Cécile Mercadier
The estimation of the extremal dependence structure is spoiled by the impact of the bias, which increases with the number of observations used for the estimation. Already known in…
Estimation of conditional laws given an extreme component
Anne-Laure Fougères, Philippe Soulier
Let be a bivariate random vector. The estimation of a probability of the form is challenging when is large, and a fruitful approach consists in…
Limit properties of the monotone rearrangement for density and regression function estimation
Dragi Anevski, Anne-Laure Fougères
The monotone rearrrangement algorithm was introduced by Hardy, Littlewood and Pólya as a sorting device for functions. Assuming that is a monotone function and that an estimate…
Estimation of bivariate excess probabilities for elliptical models
Belkacem Abdous, Anne-Laure Fougères, Kilani Ghoudi +1
Let be a random vector whose conditional excess probability is of interest. Estimating this kind of probability is a delicate problem as soon as…