114 citations · 229 across the 36 of their papers we have counts for
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math.ST2012
Markov Kernels and the Conditional Extreme Value Model
Sidney Resnick, David Zeber
The classical approach to multivariate extreme value modelling assumes that the joint distribution belongs to a multivariate domain of attraction. This requires each marginal distr…
math.ST2012★ 4 cited
Clustering of Markov chain exceedances
Sidney I. Resnick, David Zeber
The tail chain of a Markov chain can be used to model the dependence between extreme observations. For a positive recurrent Markov chain, the tail chain aids in describing the limi…