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math.ST2018
Generalized Pareto Copulas: A Key to Multivariate Extremes
Michael Falk, Simone Padoan, Florian Wisheckel
This paper reviews generalized Pareto copulas (GPC), which turn out to be a key to multivariate extreme value theory. Any GPC can be represented in an easy analytic way using a par…
math.ST2018
Records for Some Stationary Dependent Sequences
Michael Falk, Amir Khorrami, Simone A. Padoan
For a zero-mean, unit-variance second-order stationary univariate Gaussian process we derive the probability that a record at the time , say , takes place and derive its di…