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math.ST2026
Estimating the Hüsler--Reiss variogram matrix by clipped moments
Shuang Hu, Johan Segers
In multivariate extreme value analysis, the tail dependence between some of the risk variables at hand may be weak, even when other variables do tend to become large simultaneously…
stat.ME2026
Directional variograms for multivariate extremes
Manuel Hentschel, Frank Röttger, Johan Segers +1
Multivariate generalized Pareto distributions arise as limits of threshold exceedances and form a central model class for multivariate extremes. Existing inference methods based on…