592 citations · 615 across the 23 of their papers we have counts for
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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…
Extremal properties of the multivariate extended skew-normal distribution
Boris Beranger, Simone A. Padoan, Yangfan Xu +1
The skew-normal and related families are flexible and asymmetric parametric models suitable for modelling a diverse range of systems. We show that the multivariate maximum of a hig…
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…
Extremal properties of the univariate extended skew-normal distribution
Boris Beranger, Simone A. Padoan, Yangfan Xu +1
We consider the extremal properties of the highly flexible univariate extended skew-normal distribution. We derive the well-known Mills' inequalities and Mills' ratio for the exten…