19 citations · 20 across the 3 of their papers we have counts for
3 papers
math.ST2007★ 1 cited
A method of moments estimator of tail dependence
John H. J. Einmahl, Andrea Krajina, Johan Segers
In the world of multivariate extremes, estimation of the dependence structure still presents a challenge and an interesting problem. A procedure for the bivariate case is presented…
math.PR2007
Regularly varying multivariate time series
Bojan Basrak, Johan Segers
A multivariate, stationary time series is said to be jointly regularly varying if all its finite-dimensional distributions are multivariate regularly varying. This property is show…
math.PR2007★ 19 cited
Multivariate regular variation of heavy-tailed Markov chains
Johan Segers
The upper extremes of a Markov chain with regulary varying stationary marginal distribution are known to exhibit under general conditions a multiplicative random walk structure cal…