105 citations · 195 across the 13 of their papers we have counts for
5 papers · 1 filter
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…
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…
Rank-based inference for bivariate extreme-value copulas
Christian Genest, Johan Segers
Consider a continuous random pair whose dependence is characterized by an extreme-value copula with Pickands dependence function . When the marginal distributions of …
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…