242 citations · 778 across the 62 of their papers we have counts for
5 papers · 1 filter
Nonparametric Inference for Max-Stable Dependence
Johan Segers
Discussion of "Statistical Modeling of Spatial Extremes" by A. C. Davison, S. A. Padoan and M. Ribatet [arXiv:1208.3378].
Detecting changes in cross-sectional dependence in multivariate time series
Axel Bücher, Ivan Kojadinovic, Tom Rohmer +1
Classical and more recent tests for detecting distributional changes in multivariate time series often lack power against alternatives that involve changes in the cross-sectional d…
A Euclidean likelihood estimator for bivariate tail dependence
Miguel de Carvalho, Boris Oumow, Johan Segers +1
The spectral measure plays a key role in the statistical modeling of multivariate extremes. Estimation of the spectral measure is a complex issue, given the need to obey a certain…
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…
Nonparametric estimation of pair-copula constructions with the empirical pair-copula
Ingrid Hobaek Haff, Johan Segers
A pair-copula construction is a decomposition of a multivariate copula into a structured system, called regular vine, of bivariate copulae or pair-copulae. The standard practice is…