105 citations · 195 across the 13 of their papers we have counts for
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math.ST2009★ 3 cited
Nonparametric estimation of an extreme-value copula in arbitrary dimensions
Gordon Gudendorf, Johan Segers
Inference on an extreme-value copula usually proceeds via its Pickands dependence function, which is a convex function on the unit simplex satisfying certain inequality constraints…
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…