242 citations · 778 across the 62 of their papers we have counts for
15 papers · 1 filter
Invariance properties of limiting point processes and applications to clusters of extremes
Anja Janßen, Johan Segers
Motivated by examples from extreme value theory we introduce the general notion of a cluster process as a limiting point process of returns of a certain event in a time series. We…
One- versus multi-component regular variation and extremes of Markov trees
Johan Segers
A Markov tree is a random vector indexed by the nodes of a tree whose distribution is determined by the distributions of pairs of neighbouring variables and a list of conditional i…
Tails of optimal transport plans for regularly varying probability measures
Cees de Valk, Johan Segers
For the basic case of optimal transport between two probability measures on a Euclidean space, the regularity of the coupling measure and the transport map in the tail region…
On the longest gap between power-rate arrivals
Søren Asmussen, Jevgenijs Ivanovs, Johan Segers
Let be the longest gap before time in an inhomogeneous Poisson process with rate function proportional to for some . It is shown that $λ_tL_t-b…
Polar decomposition of regularly varying time series in star-shaped metric spaces
Johan Segers, Yuwei Zhao, Thomas Meinguet
There exist two ways of defining regular variation of a time series in a star-shaped metric space: either by the distributions of finite stretches of the series or by viewing the w…
Multivariate peaks over thresholds models
Holger Rootzén, Johan Segers, Jennifer L. Wadsworth
Multivariate peaks over thresholds modeling based on generalized Pareto distributions has up to now only been used in few and mostly 2-dimensional situations. This paper contribute…
Marginal standardization of upper semicontinuous processes. with application to max-stable processes
Anne Sabourin, Johan Segers
Extreme-value theory for random vectors and stochastic processes with continuous trajectories is usually formulated for random objects all of whose univariate marginal distribution…
Markov tail chains
Anja Janßen, Johan Segers
The extremes of a univariate Markov chain with regulary varying stationary marginal distribution and asymptotically linear behavior are known to exhibit a multiplicative random wal…
Max-stable models for multivariate extremes
Johan Segers
Multivariate extreme-value analysis is concerned with the extremes in a multivariate random sample, that is, points of which at least some components have exceptionally large value…
Regularly varying time series in Banach spaces
Thomas Meinguet, Johan Segers
When a spatial process is recorded over time and the observation at a given time instant is viewed as a point in a function space, the result is a time series taking values in a Ba…
A functional limit theorem for dependent sequences with infinite variance stable limits
Bojan Basrak, Danijel Krizmanić, Johan Segers
Under an appropriate regular variation condition, the affinely normalized partial sums of a sequence of independent and identically distributed random variables converges weakly to…
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…
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…
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…
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…