242 citations · 778 across the 62 of their papers we have counts for
8 papers · 1 filter
Peaks over thresholds modelling with multivariate generalized Pareto distributions
Anna Kiriliouk, Holger Rootzén, Johan Segers +1
When assessing the impact of extreme events, it is often not just a single component, but the combined behaviour of several components which is important. Statistical modelling usi…
The Empirical Beta Copula
Johan Segers, Masaaki Sibuya, Hideatsu Tsukahara
Given a sample from a multivariate distribution , the uniform random variates generated independently and rearranged in the order specified by the componentwise ranks of the ori…
Inference on the tail process with application to financial time series modelling
R. A. Davis, H. Drees, J. Segers +1
To draw inference on serial extremal dependence within heavy-tailed Markov chains, Drees, Segers and Warchoł [Extremes (2015) 18, 369--402] proposed nonparametric estimators of the…
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…