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math.ST2024
Testing parametric models for the angular measure for bivariate extremes
Stéphane Lhaut, Johan Segers
The angular measure on the unit sphere characterizes the first-order dependence structure of the components of a random vector in extreme regions and is defined in terms of standar…
math.ST2011★ 68 cited
An M-estimator for tail dependence in arbitrary dimensions
John H. J. Einmahl, Andrea Krajina, Johan Segers
Consider a random sample in the max-domain of attraction of a multivariate extreme value distribution such that the dependence structure of the attractor belongs to a parametric mo…