105 citations · 195 across the 13 of their papers we have counts for
4 papers · 1 filter
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…
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…
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…
Generalised regular variation of arbitrary order
Edward Omey, Johan Segers
Let be a measurable, real function defined in a neighbourhood of infinity. The function is said to be of generalised regular variation if there exist functions $h \not\equi…