242 citations · 778 across the 62 of their papers we have counts for
7 papers · 1 filter
Statistical Inference for Hüsler-Reiss Graphical Models Through Matrix Completions
Manuel Hentschel, Sebastian Engelke, Johan Segers
The severity of multivariate extreme events is driven by the dependence between the largest marginal observations. The Hüsler-Reiss distribution is a versatile model for this extre…
Max-linear graphical models with heavy-tailed factors on trees of transitive tournaments
Johan Segers, Stefka Asenova
Graphical models with heavy-tailed factors can be used to model extremal dependence or causality between extreme events. In a Bayesian network, variables are recursively defined in…
Graphical and uniform consistency of estimated optimal transport plans
Johan Segers
A general theory is provided delivering convergence of maximal cyclically monotone mappings containing the supports of coupling measures of sequences of pairs of possibly random pr…
Modelling multivariate extreme value distributions via Markov trees
Shuang Hu, Zuoxiang Peng, Johan Segers
Multivariate extreme value distributions are a common choice for modelling multivariate extremes. In high dimensions, however, the construction of flexible and parsimonious models…
Invariance properties of limiting point processes and applications to clusters of extremes
Anja Janßen, Johan Segers
Motivated by examples from extreme value theory we introduce the general notion of a cluster process as a limiting point process of returns of a certain event in a time series. We…
A Quadrature Rule combining Control Variates and Adaptive Importance Sampling
Rémi Leluc, François Portier, Johan Segers +1
Driven by several successful applications such as in stochastic gradient descent or in Bayesian computation, control variates have become a major tool for Monte Carlo integration.…